نتائج البحث - "CGMY process"

1

دورية أكاديمية

Total Value Adjustment of Multi-Asset Derivatives under Multivariate CGMY Processes

المؤلفون: Fengyan Wu, Deng Ding, Juliang Yin, Weiguo Lu, Gangnan Yuan

المصدر: Fractal and Fractional; Volume 7; Issue 4; Pages: 308

مصطلحات موضوعية: counterparty credit risk, total value adjustment, CGMY process, Monte Carlo simulation, ADI method, 2D Fourier expansion

وصف الملف: application/pdf

العلاقة: Probability and Statistics; https://dx.doi.org/10.3390/fractalfract7040308Test

الإتاحة: https://doi.org/10.3390/fractalfract7040308Test

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2

دورية أكاديمية

Pricing Energy Derivatives in Markets Driven by Tempered Stable and CGMY Processes of Ornstein-Uhlenbeck Type

المؤلفون: Sabino, Piergiacomo

المساهمون: Department of Mathematics and Statistics, University of Helsinki

مصطلحات موضوعية: Levy-driven Ornstein-Uhlenbeck processes, CGMY process, tempered stable distributions, exact simulation, energy markets, derivative pricing, SWING OPTIONS, VALUATION, MODELS, SIMULATION, CURVES, 111 Mathematics, 511 Economics

وصف الملف: application/pdf

العلاقة: I would like to express my gratitude to Matteo Gardini and Nicola Cufaro Petroni for their help relative to the application of the FFT method. Open access funding provided by University of Helsinki.; Sabino , P 2022 , ' Pricing Energy Derivatives in Markets Driven by Tempered Stable and CGMY Processes of Ornstein-Uhlenbeck Type ' , Risks , vol. 10 , no. 8 , 148 . https://doi.org/10.3390/risks10080148Test; 38fc417e-7be6-43bf-98e4-be7cfaa72040; http://hdl.handle.net/10138/347831Test; 000845321000001

الإتاحة: https://doi.org/10.3390/risks10080148Test
http://hdl.handle.net/10138/347831Test

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3

دورية أكاديمية

Pricing Energy Derivatives in Markets Driven by Tempered Stable and CGMY Processes of Ornstein–Uhlenbeck Type

المؤلفون: Piergiacomo Sabino

المصدر: Risks; Volume 10; Issue 8; Pages: 148

مصطلحات موضوعية: Lévy-driven Ornstein–Uhlenbeck processes, CGMY process, tempered stable distributions, exact simulation, energy markets, derivative pricing

وصف الملف: application/pdf

العلاقة: https://dx.doi.org/10.3390/risks10080148Test

الإتاحة: https://doi.org/10.3390/risks10080148Test

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4

Gram–Charlier methods, regime-switching and stochastic volatility in exponential Lévy models

المؤلفون: Søren Asmussen, Mogens Bladt

المصدر: Asmussen, S & Bladt, M 2022, ' Gram–Charlier methods, regime-switching and stochastic volatility in exponential Lévy models ', Quantitative Finance, vol. 22, no. 4, pp. 675-689 . https://doi.org/10.1080/14697688.2021.1998585Test

مصطلحات موضوعية: Bell polynomials, Integrated CIR process, Normal inverse Gaussian distribution, Cumulants, Risk neutrality, Faà di Bruno's formula, Markov additive process, European call option, Matrix-exponentials, CGMY process, Tempered stable distribution, General Economics, Econometrics and Finance, Markov-modulation, Finance

الوصول الحر: https://explore.openaire.eu/search/publication?articleId=doi_dedup___::c4efd992477f04daec2e0b920a84db09Test
https://doi.org/10.1080/14697688.2021.1998585Test

5

دورية أكاديمية

Gram–Charlier methods, regime-switching and stochastic volatility in exponential Lévy models

المؤلفون: Asmussen, Søren, Bladt, Mogens

المصدر: Asmussen , S & Bladt , M 2022 , ' Gram–Charlier methods, regime-switching and stochastic volatility in exponential Lévy models ' , Quantitative Finance , vol. 22 , no. 4 , pp. 675-689 . https://doi.org/10.1080/14697688.2021.1998585Test

مصطلحات موضوعية: Bell polynomials, CGMY process, Cumulants, European call option, Faà di Bruno's formula, Integrated CIR process, Markov additive process, Markov-modulation, Matrix-exponentials, Normal inverse Gaussian distribution, Risk neutrality, Tempered stable distribution