University of Zurich, Department of Banking and Finance
American options, early exercise premium, hyper-exponential jump-diffusion model, maturity randomization, jump-diffusion disentanglement.
value at risk, intra-horizon risk, displaced mixed-exponential model, first-passage disentanglement, option-implied estimates
Intra-Horizon Risk, Value at Risk, Expected Shortfall, Levy Processes, Hyper-Exponential Distribution, Risk Decomposition
Parisian Options, Maturity–Excursion Randomization, Hyper-Exponential Jump–Diffusion Model, Excursion Disentanglement
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