The theory of geometric stable distributions and its use in modeling financial data
AbstractNo abstract is available for this item.
Download InfoIf you experience problems downloading a file, check if you have the proper application to view it first. In case of further problems read the IDEAS help page. Note that these files are not on the IDEAS site. Please be patient as the files may be large.
As the access to this document is restricted, you may want to look for a different version under "Related research" (further below) or search for a different version of it.
Bibliographic InfoArticle provided by Elsevier in its journal European Journal of Operational Research.
Volume (Year): 74 (1994)
Issue (Month): 2 (April)
Contact details of provider:
Web page: http://www.elsevier.com/locate/eor
You can help add them by filling out this form.
CitEc Project, subscribe to its RSS feed for this item.
- Fleten, Stein-Erik & Lindset, Snorre, 2004.
"Optimal hedging strategies for multi-period guarantees in the presence of transaction costs: A stochastic programming approach,"
220, University Library of Munich, Germany, revised Apr 2006.
- Fleten, Stein-Erik & Lindset, Snorre, 2008. "Optimal hedging strategies for multi-period guarantees in the presence of transaction costs: A stochastic programming approach," European Journal of Operational Research, Elsevier, vol. 185(3), pages 1680-1689, March.
- Tomasz Kozubowski, 2000. "Exponential Mixture Representation of Geometric Stable Distributions," Annals of the Institute of Statistical Mathematics, Springer, vol. 52(2), pages 231-238, June.
- Kozubowski, Tomasz J. & Meerschaert, Mark M. & Panorska, Anna K. & Scheffler, Hans-Peter, 2005. "Operator geometric stable laws," Journal of Multivariate Analysis, Elsevier, vol. 92(2), pages 298-323, February.
- Goovaerts, Marc & De Schepper, A. & Vyncke, D. & Dhaene, Jan & Kaas, R., 2001. "Stable laws and the present value of fixed cash flows," Open Access publications from Katholieke Universiteit Leuven urn:hdl:123456789/200580, Katholieke Universiteit Leuven.
- Kozubowski, Tomasz J. & Panorska, Anna K., 1998. "Weak Limits for Multivariate Random Sums," Journal of Multivariate Analysis, Elsevier, vol. 67(2), pages 398-413, November.
For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: (Wendy Shamier).
If you have authored this item and are not yet registered with RePEc, we encourage you to do it here. This allows to link your profile to this item. It also allows you to accept potential citations to this item that we are uncertain about.
If references are entirely missing, you can add them using this form.
If the full references list an item that is present in RePEc, but the system did not link to it, you can help with this form.
If you know of missing items citing this one, you can help us creating those links by adding the relevant references in the same way as above, for each refering item. If you are a registered author of this item, you may also want to check the "citations" tab in your profile, as there may be some citations waiting for confirmation.
Please note that corrections may take a couple of weeks to filter through the various RePEc services.