COMPUTATIONAL METHOD FOR PROBABILITY DISTRIBUTION ON RECURSIVE RELATIONSHIPS IN FINANCIAL APPLICATIONS

DOI10.1017/S0269964818000517MaRDI QIDQ5111485zbMATH OpenOpenAlexFDO

Authors Jong Jun Park, Kyungsub Lee

Publication date 27 May 2020

Published in Probability in the Engineering and Informational Sciences (Search for Journal in Brave)

Full work available at URL https://arxiv.org/abs/1908.04959

zbMATH Keywords

applied probabilitymathematical financestochastic modelingmanagement sciencecomputational probability

Mathematics Subject Classification ID

Numerical methods (including Monte Carlo methods) (91G60) Probabilistic models, generic numerical methods in probability and statistics (65C20)

Cites work

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• Generalized autoregressive conditional heteroscedasticity
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• Option valuation with conditional skewness
• Probabilistic and statistical properties of moment variations and their use in inference and estimation based on high frequency return data
• The Variance Gamma Process and Option Pricing

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