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Search: subject:"Jump diffusion model"
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Option pricing theory
46
Optionspreistheorie
46
Stochastic process
45
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45
Volatility
33
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33
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17
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jump-diffusion model
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Forbes, Catherine Scipione
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Maneesoonthorn, Worapree
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Martin, Gael M.
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3
Fabozzi, Frank J.
3
Kostrzewski, Maciej
3
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Vasiljević, Nikola
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Finance research letters
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4
International journal of theoretical and applied finance
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Central European journal of economic modelling and econometrics
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Working paper / Department of Econometrics and Business Statistics, Monash University
3
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European journal of operational research : EJOR
1
FAU discussion papers in economics
1
International review of economics & finance : IREF
1
International review of financial analysis
1
Investment management and financial innovations
1
Iranian economic review : journal of University of Tehran
1
Journal of business & economic statistics : JBES ; a publication of the American Statistical Association
1
Journal of econometrics
1
Journal of empirical finance
1
Journal of international money and finance
1
Journal of risk and financial management : JRFM
1
Mathematical control theory and finance
1
Memorandum / Department of Economics, University of Oslo
1
Options - 45 years since the publication of the Black-Scholes-Merton model : the Gershon Fintech Center Conference
1
Quantitative finance and economics
1
Research paper / Quantitative Finance Research Centre, University of Technology Sydney
1
Research paper series / Swiss Finance Institute
1
Review of derivatives research
1
Review of economics & finance
1
Risk management decisions and value under uncertainty
1
Swiss Finance Institute Research Paper
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The European journal of finance
1
The Kyoto economic review
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ECONIS (ZBW)
RePEc
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EconStor
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1
Price jump diffusion in Iranian housing market (Merton model and NGARCH approach)
Dinarzehi, Khadijeh
;
Shahiki Tash, Mohammad Nabi
- In:
Iranian economic review : journal of University of Tehran
26
(
2022
)
2
,
pp. 369-388
Persistent link: https://www.econbiz.de/10013365654
Saved in:
2
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:
3
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:
4
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:
5
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:
6
High-frequency jump tests : which test should we use?
Maneesoonthorn, Worapree
;
Martin, Gael M.
;
Forbes, …
-
2020
-
(Revised working paper 17/18)
Persistent link: https://www.econbiz.de/10012606872
Saved in:
7
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:
8
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:
9
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:
10
Statistical arbitrage with mean-reverting overnight price gaps on high-frequency data of the S&P 500
Stübinger, Johannes
;
Schneider, Lucas
- In:
Journal of risk and financial management : JRFM
12
(
2019
)
2/51
,
pp. 1-19
This paper develops a fully-fledged statistical arbitrage strategy based on a mean-reverting
jump-diffusion
model
and …
Persistent link: https://www.econbiz.de/10012022240
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