Hybrid Lévy Models: Design and Computational Aspects
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Publication:5742508
DOI10.1080/1350486X.2018.1536523zbMath1411.91552OpenAlexW2899381419MaRDI QIDQ5742508
Ernst Eberlein, Marcus Rudmann
Publication date: 15 May 2019
Published in: Applied Mathematical Finance (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1080/1350486x.2018.1536523
hybrid modelsequity derivativesinterest rate derivativestime-inhomogeneous Lévy processeshybrid derivatives
Processes with independent increments; Lévy processes (60G51) Interest rates, asset pricing, etc. (stochastic models) (91G30) Derivative securities (option pricing, hedging, etc.) (91G20)
Related Items (3)
Fourier based methods for the management of complex life insurance products ⋮ Valuation and optimal surrender of variable annuities with guaranteed minimum benefits and periodic fees ⋮ Variable annuities in a Lévy-based hybrid model with surrender risk
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