The estimation of phase-type related functionals using Markov chain Monte Carlo methods

By Mogens Bladt, A. González, Steffen L. Lauritzen. 2003

61 citations recorded by the source corpus.

Subfields: Artificial Intelligence, Finance, Statistics and Probability

View Paper: https://www.semanticscholar.org/paper/1b8f29e2208177c7ab0abdb64a1c0e69c90f779f

How researchers see this paper

The researchers whose trusted networks rank it highest, strongest advocate first. Every researcher gets a different order.

In Artificial Intelligence

1. Søren Asmussen
2. Martijn Pistorius
3. Florin Avram

In Finance

1. Martijn Pistorius
2. Florin Avram
3. Andreas E. Kyprianou
4. Søren Asmussen
5. Zbigniew Palmowski
6. Pavel V. Gapeev
7. Lothar Breuer
8. V. Rivero

In Statistics and Probability

1. Martijn Pistorius
2. Florin Avram
3. Søren Asmussen

Citations in the corpus

• Russian and American put options under exponential phase-type Lévy models (2004, methodology): “Remark 1 The approximation in Proposition 1 is easy to carry out in practice: the compound approximation is obtained by just restricting the Lévy measure to {|x| > 2}, and to get to phase–type jumps, the relevant methodology for fitting a phase–type distributions to a given distribution (or a set of”