The Variance Gamma Scaled Self-Decomposable Process in Actuarial Modelling
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- Mosiño, Alejandro & Salomón-Núñez, Laura A. & Moreno-Okuno, Alejandro T., 2017.
"Estudio empírico sobre el tipo de cambio MXN/USD: Movimiento Browniano Geométrico vs. Proceso Varianza-Gamma
[Empirical analysis of the MXN/USD exchange rate: geometric Brownian motion vs. variance," MPRA Paper 78961, University Library of Munich, Germany.
- Forsyth, Peter & Vetzal, Kenneth, 2014. "An optimal stochastic control framework for determining the cost of hedging of variable annuities," Journal of Economic Dynamics and Control, Elsevier, vol. 44(C), pages 29-53.
- repec:ebl:ecbull:eb-17-00495 is not listed on IDEAS
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KeywordsVariance gamma; regime switching lognormal; long term equity returns.;
- G13 - Financial Economics - - General Financial Markets - - - Contingent Pricing; Futures Pricing
- G23 - Financial Economics - - Financial Institutions and Services - - - Non-bank Financial Institutions; Financial Instruments; Institutional Investors
NEP fieldsThis paper has been announced in the following NEP Reports:
- NEP-ALL-2010-07-10 (All new papers)
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