Unified moment-based modeling of integrated stochastic processes

DOI10.1287/OPRE.2022.2422MaRDI QIDQ6598921

Ioannis Kyriakou, Riccardo Brignone, Gianluca Fusai

Publication date: 5 September 2024

Published in: Operations Research (Search for Journal in Brave)

zbMATH Keywords

momentssimulationstochastic volatilityPearson curvesreducible models

Mathematics Subject Classification ID

Stochastic integrals (60H05) Computational methods for stochastic equations (aspects of stochastic analysis) (60H35) Stochastic analysis (60H99)

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