Gram–Charlier methods, regime-switching and stochastic volatility in exponential Lévy models
DOI10.1080/14697688.2021.1998585zbMath1490.91204OpenAlexW4200484485WikidataQ115549847 ScholiaQ115549847MaRDI QIDQ5079360
Publication date: 27 May 2022
Published in: Quantitative Finance (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1080/14697688.2021.1998585
cumulantsBell polynomialsnormal inverse Gaussian distributionFaà di Bruno's formulaMarkov additive processMarkov-modulationtempered stable distributionrisk neutralityCGMY processeuropean call optionintegrated CIR processmatrix-exponentials
Processes with independent increments; Lévy processes (60G51) Derivative securities (option pricing, hedging, etc.) (91G20)
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