Analytic option pricing and risk measures under a regime-switching generalized hyperbolic model with an application to equity-linked insurance (Q4555162)
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scientific article; zbMATH DE number 6981275
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| English | Analytic option pricing and risk measures under a regime-switching generalized hyperbolic model with an application to equity-linked insurance |
scientific article; zbMATH DE number 6981275 |
Statements
Analytic option pricing and risk measures under a regime-switching generalized hyperbolic model with an application to equity-linked insurance (English)
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19 November 2018
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regime switching model
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generalized hyperbolic process
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VaR
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CTE
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equity-linked insurance
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0.8818316
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0.8739542
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0.8715874
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0.8684157
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0.86512995
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0.8640472
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