Stochastic jump intensity models
Year of publication: |
2018
|
---|---|
Authors: | Lévy Dit Véhel, Pierre-Emmanuel ; Lévy Véhel, Jacques |
Published in: |
Risk and decision analysis. - Amsterdam : IOS Press, ISSN 1569-7371, ZDB-ID 2512630-1. - Vol. 7.2018, 1/2, p. 63-75
|
Subject: | Tempered stable processes | CGMY model | stochastic jump intensity | risk management | VaR | Stochastischer Prozess | Stochastic process | Optionspreistheorie | Option pricing theory | Risikomanagement | Risk management |
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