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Search: subject:"Jump diffusion model"
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Option pricing theory
25
Optionspreistheorie
25
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22
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22
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13
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13
Jump-diffusion model
12
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Chen, Jun-Home
3
Fabozzi, Frank J.
3
Lian, Yu-Min
3
Muroi, Yoshifumi
3
Suda, Shintaro
3
Vasiljević, Nikola
3
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2
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1
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Finance research letters
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3
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Journal of econometrics
1
Journal of empirical finance
1
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1
Mathematics and Computers in Simulation (MATCOM)
1
Options - 45 years since the publication of the Black-Scholes-Merton model : the Gershon Fintech Center Conference
1
Research paper series / Swiss Finance Institute
1
Review of Quantitative Finance and Accounting
1
Risk management decisions and value under uncertainty
1
Swiss Finance Institute Research Paper
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The European journal of finance
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The quarterly review of economics and finance : journal of the Midwest Economics Association ; journal of the Midwest Finance Association
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Transportation Research Part E: Logistics and Transportation Review
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ECONIS (ZBW)
33
RePEc
18
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1
Pricing vulnerable options under cross-asset markov-modulated jump-diffusion dynamics
Lian, Yu-Min
;
Chen, Jun-Home
- In:
International review of economics & finance : IREF
94
(
2024
),
pp. 1-14
Persistent link: https://www.econbiz.de/10014582767
Saved in:
2
Valuation of chooser options with state-dependent risks
Lian, Yu-Min
;
Chen, Jun-Home
- In:
Finance research letters
52
(
2023
),
pp. 1-13
Persistent link: https://www.econbiz.de/10014471998
Saved in:
3
Option prices in the equity, index and commodity markets : the "message from markets"
Ronn, Ehud I.
- In:
Options - 45 years since the publication of the …
,
(pp. 433-449)
.
2023
Persistent link: https://www.econbiz.de/10014366690
Saved in:
4
Pricing extreme mortality risk in the wake of the COVID-19 pandemic
Li, Han
;
Liu, Haibo
;
Tang, Qihe
;
Yuan, Zhongyi
- In:
Insurance / Mathematics & economics
108
(
2023
),
pp. 84-106
Persistent link: https://www.econbiz.de/10013534513
Saved in:
5
Asymptotic analysis of the mixed-exponential
jump
diffusion
model
and its financial applications
Shi, Chao
- In:
Journal of economic dynamics & control
143
(
2022
),
pp. 1-17
Persistent link: https://www.econbiz.de/10013542969
Saved in:
6
A comparative analysis of housing prices in different cities using the Black-Scholes and Jump Diffusion models
Oh, Sebeom
;
Ku, Hyejin
;
Jun, Doobae
- In:
Finance research letters
46
(
2022
)
1
,
pp. 1-6
Persistent link: https://www.econbiz.de/10013339274
Saved in:
7
Statistical arbitrage in jump-diffusion models with compound Poisson processes
Akyildirim, Erdinc
;
Fabozzi, Frank J.
;
Goncu, Ahmet
; …
- In:
Risk management decisions and value under uncertainty
,
(pp. 1357-1371)
.
2022
Persistent link: https://www.econbiz.de/10013342121
Saved in:
8
Binomial tree method for option pricing : discrete Carr and Madan formula approach
Muroi, Yoshifumi
;
Saeki, Ryota
;
Suda, Shintaro
- In:
International journal of financial engineering
8
(
2021
)
2
,
pp. 1-28
Persistent link: https://www.econbiz.de/10012662360
Saved in:
9
Portfolio allocation in a Levy-type
jump-diffusion
model
with nonlife insurance risk
Serrano, Rafael
- In:
International journal of theoretical and applied finance
24
(
2021
)
1
,
pp. 1-34
Persistent link: https://www.econbiz.de/10012650242
Saved in:
10
Pricing exotic option under jump-diffusion models by the quadrature method
Zhang, Jin-Yu
;
Wu, Wen-Bo
;
Li, Yong
;
Lou, Zhu-Sheng
- In:
Computational economics
58
(
2021
)
3
,
pp. 867-884
Persistent link: https://www.econbiz.de/10012651045
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