On the modelling of nested risk-neutral stochastic processes with applications in insurance
Year of publication: |
September 2017
|
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Authors: | Singor, S. N. ; Boer, A. ; Alberts, J. S. C. ; Oosterlee, Cornelis Willebrordus |
Published in: |
Applied mathematical finance. - Abingdon : Routledge, Taylor & Francis Group, ISSN 1350-486X, ZDB-ID 1282409-4. - Vol. 24.2017, 3/4, p. 302-336
|
Subject: | State Space Hidden Markov | nested simulations | risk-neutral valuation | robust calibration | Heston | solvency II | Stochastischer Prozess | Stochastic process | Markov-Kette | Markov chain | Simulation | Optionspreistheorie | Option pricing theory | Risiko | Risk | Robustes Verfahren | Robust statistics |
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