Measure distorted arrival rate risks and their rewards

Measure distorted arrival rate risks and their rewards

Abstract Risks embedded in asset price dynamics are taken to be accumulations of surprise jumps. A Markov pure jump model is formulated on making variance gamma parameters deterministic functions of the price level. Estimation is done by matrix exponentiation of the transition rate matrix for a cont...

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Bibliographic Details
Main Author: Dilip B. Madan
Format: Article
Language:English
Published: SpringerOpen 2017-06-01
Series:Probability, Uncertainty and Quantitative Risk
Subjects:
Variance Gamma
Hunt process
Markov chain approximation
Matrix exponentiation
Momentum function
Measure distortion
Online Access:http://link.springer.com/article/10.1186/s41546-017-0021-8

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http://link.springer.com/article/10.1186/s41546-017-0021-8

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