ESTIMATION OF VALUE AT RISK AND RUIN PROBABILITY FOR DIFFUSION PROCESSES WITH JUMPS

Laurent Denis, Begoña Fernández and Ana Meda

Mathematical Finance, 2009, vol. 19, issue 2, 281-302

Abstract: In this paper we give upper bounds for both the Value at Risk VaRα, 0

Date: 2009
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https://doi.org/10.1111/j.1467-9965.2009.00367.x

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