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pro vyhledávání: '"Brett Shanahan"'
Autor:
Brett Shanahan
Publikováno v:
SSRN Electronic Journal.
Stochastic volatility models have grown in popularity in the past decade or two. However, for many stochastic volatility models, the functional form of volatility along with the description of the diffusion process for volatility have been posed with
Externí odkaz:
https://explore.openaire.eu/search/publication?articleId=doi_________::343d7a921fd147147b873b765bc8ab8a
https://doi.org/10.2139/ssrn.3861807
https://doi.org/10.2139/ssrn.3861807
Autor:
Brett Shanahan
Publikováno v:
SSRN Electronic Journal.
The objective of this paper is to approximate the probability density functions for Ornstein-Uhlenbeck processes that are driven by Levy processes. This is achieved by considering a truncated set of cumulants relating to the Levy measure and expressi
Externí odkaz:
https://explore.openaire.eu/search/publication?articleId=doi_________::7007a5884ff050ef7487a8bf435756a5
https://doi.org/10.2139/ssrn.3861868
https://doi.org/10.2139/ssrn.3861868
We propose a model for the valuation of participating life insurance products under the Meixner process, which belongs to the family of semi-heavy tailed processes. This particular model assumption is extremely desirable as it captures the stylised f
Externí odkaz:
https://explore.openaire.eu/search/publication?articleId=doi_dedup___::1b980a8633a382a04a43b24c65466a1f
https://hdl.handle.net/11541.2/124206
https://hdl.handle.net/11541.2/124206
