Sensitivity analysis for averaged asset price dynamics with gamma processes
DOI10.1016/j.spl.2009.09.010zbMath1186.60044OpenAlexW2058644991MaRDI QIDQ1044013
Reiichiro Kawai, Atsushi Takeuchi
Publication date: 10 December 2009
Published in: Statistics \& Probability Letters (Search for Journal in Brave)
Full work available at URL: https://figshare.com/articles/journal_contribution/Sensitivity_analysis_for_averaged_asset_price_dynamics_with_gamma_processes/10092377
sensitivity indicesaveraged asset price dynamicsEsscher density transformgamma Lévy processunbiased Monte Carlo estimators
Infinitely divisible distributions; stable distributions (60E07) Processes with independent increments; Lévy processes (60G51) Stochastic models in economics (91B70) Stochastic calculus of variations and the Malliavin calculus (60H07)
Related Items (8)
Cites Work
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