Gram-Charlier methods, regime-switching and stochastic volatility in exponential Lévy models (Q5079360)
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scientific article; zbMATH DE number 7532606
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| English | Gram-Charlier methods, regime-switching and stochastic volatility in exponential Lévy models |
scientific article; zbMATH DE number 7532606 |
Statements
Gram–Charlier methods, regime-switching and stochastic volatility in exponential Lévy models (English)
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27 May 2022
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Bell polynomials
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CGMY process
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cumulants
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european call option
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Faà di Bruno's formula
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integrated CIR process
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Markov additive process
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Markov-modulation
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matrix-exponentials
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normal inverse Gaussian distribution
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risk neutrality
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tempered stable distribution
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0.7951421141624451
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0.7790483832359314
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0.7749167680740356
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0.7507969737052917
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0.7424190640449524
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