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Search: subject:"Jump diffusion model"
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Optionspreistheorie
48
Option pricing theory
47
Stochastic process
47
Stochastischer Prozess
46
Volatility
34
Volatilität
34
jump-diffusion model
27
Jump-diffusion model
19
Theorie
17
Theory
17
Jump diffusion model
14
Option trading
14
Optionsgeschäft
14
CAPM
13
Portfolio selection
12
Portfolio-Management
12
jump diffusion model
12
Börsenkurs
11
Share price
11
Capital income
10
Kapitaleinkommen
10
Statistische Verteilung
10
Statistical distribution
9
Derivat
8
Derivative
8
Black-Scholes model
7
Black-Scholes-Modell
7
Markov chain
7
Markov-Kette
7
Monte Carlo simulation
7
Risk
7
Option pricing
6
Risiko
6
Schätztheorie
6
Time series analysis
6
Zeitreihenanalyse
6
Bayes-Statistik
5
Bayesian inference
5
Estimation
5
Estimation theory
5
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Undetermined
54
Free
36
Type of publication
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Article
87
Book / Working Paper
30
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Article in journal
57
Aufsatz in Zeitschrift
57
Working Paper
12
Graue Literatur
8
Non-commercial literature
8
Arbeitspapier
7
Article
3
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3
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3
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1
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1
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English
85
Undetermined
31
German
1
Author
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Stübinger, Johannes
5
Aboura, Sofiane
4
Björk, Tomas
4
Fabozzi, Frank J.
4
Forbes, Catherine Scipione
4
Kostrzewski, Maciej
4
Maneesoonthorn, Worapree
4
Martin, Gael M.
4
Chen, Jun-Home
3
Endres, Sylvia
3
Framstad, Nils Chr.
3
Hainaut, Donatien
3
Lian, Yu-Min
3
Muroi, Yoshifumi
3
Siu, Tak Kuen
3
Suda, Shintaro
3
Vasiljević, Nikola
3
Xu, Weijun
3
Branger, Nicole
2
Chakrabarty, Anindya
2
Chekenya, Nixon S.
2
Chesney, Marc
2
Chin, Seong Tah
2
Dong, Yinghui
2
Dubey, Rameshwar
2
Fard, Farzad Alavi
2
Gapeev, Pavel V.
2
Grith, Maria
2
Hulley, Hardy
2
Jiang, Shan
2
Juma, Mussa
2
Kabanov, Yuri
2
Kaldasch, Joachim
2
Krätschmer, Volker
2
Ku, Hyejin
2
Kyriakou, Ioannis
2
Larsen, Linda Sandris
2
Lee, Min Cherng
2
Leippold, Markus
2
Li, Hongyi
2
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Institution
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Université Paris-Dauphine (Paris IX)
3
Economics Institute for Research (SIR), Handelshögskolan i Stockholm
2
Sonderforschungsbereich 649: Ökonomisches Risiko, Wirtschaftswissenschaftliche Fakultät
2
Volkswirtschaftliche Fakultät, Ludwig-Maximilians-Universität München
2
Bank for International Settlements (BIS)
1
Colwell, David , Banking & Finance, Australian School of Business, UNSW
1
Deutsche Zentralbibliothek für Wirtschaftswissenschaften - Leibniz-Informationszentrum Wirtschaft (ZBW)
1
EconWPA
1
EconomiX, Université Paris Ouest-Nanterre la Défense (Paris X)
1
Lee, Brendan Chee-Seng, Banking & Finance, Australian School of Business, UNSW
1
Society for Computational Economics - SCE
1
Université Paris-Dauphine
1
Økonomisk institutt, Universitetet i Oslo
1
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Published in...
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Finance research letters
4
Insurance / Mathematics & economics
4
International journal of theoretical and applied finance
4
Central European journal of economic modelling and econometrics
3
Computational economics
3
Economics Papers from University Paris Dauphine
3
Quantitative finance
3
SSE/EFI Working Paper Series in Economics and Finance
3
Working paper / Department of Econometrics and Business Statistics, Monash University
3
Applied economics letters
2
Applied mathematical finance
2
Cogent Economics & Finance
2
Cogent economics & finance
2
Energy economics
2
Finance and Stochastics
2
Insurance: Mathematics and Economics
2
International Journal of Theoretical and Applied Finance (IJTAF)
2
International journal of financial engineering
2
Journal of banking & finance
2
Journal of economic dynamics & control
2
Journal of mathematical finance
2
MPRA Paper
2
Management Science
2
SFB 649 Discussion Paper
2
SFB 649 Discussion Papers
2
Statistics & Probability Letters
2
Applied Mathematical Finance
1
BIS Working Papers
1
Business Process Management Journal
1
Business process management journal
1
Central European Journal of Economic Modelling and Econometrics
1
Computing in Economics and Finance 2003
1
EconStor Preprints
1
Econometrics
1
EconomiX Working Papers
1
Economic modelling
1
Energy Economics
1
European journal of operational research : EJOR
1
FAU Discussion Papers in Economics
1
FAU discussion papers in economics
1
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Source
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ECONIS (ZBW)
68
RePEc
37
EconStor
8
BASE
2
Other ZBW resources
2
Showing
21
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30
of
117
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date (oldest first)
21
Cojump risks and their impacts on option pricing
Lian, Yu-Min
;
Chen, Jun-Home
;
Liao, Szu-Lang
- In:
The quarterly review of economics and finance : journal …
79
(
2021
),
pp. 399-410
Persistent link: https://www.econbiz.de/10012655076
Saved in:
22
Price dynamics of individual stocks : jumps and information
Xiao, Yuewen
;
Zhao, Jing
- In:
Finance research letters
38
(
2021
),
pp. 1-8
Persistent link: https://www.econbiz.de/10012485357
Saved in:
23
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:
24
Pairs trading with a mean-reverting
jump-diffusion
model
on high-frequency data
Stübinger, Johannes
;
Endres, Sylvia
-
2017
This paper develops a pairs trading framework based on a mean-reverting
jump-diffusion
model
and applies it to minute …
Persistent link: https://www.econbiz.de/10011644776
Saved in:
25
Evaluation of variable annuity guarantees with the effect of jumps in the asset price process
Juma, Mussa
;
Lee, Min Cherng
;
Chin, Seong Tah
;
Liew, …
- In:
Cogent Economics & Finance
5
(
2017
)
1
,
pp. 1-17
prices from calibrated Black-Scholes model to that of calibrated
jump-diffusion
model
. Although both models assume constant …
Persistent link: https://www.econbiz.de/10011988759
Saved in:
26
Evaluation of variable annuity guarantees with the effect of jumps in the asset price process
Juma, Mussa
;
Lee, Min Cherng
;
Chin, Seong Tah
;
Liew, …
- In:
Cogent economics & finance
5
(
2017
)
1
,
pp. 1-17
prices from calibrated Black–Scholes model to that of calibrated
jump-diffusion
model
. Although both models assume constant …
Persistent link: https://www.econbiz.de/10011881290
Saved in:
27
Continuous mixed-laplace jump diffusion models for stocks and commodities
Hainaut, Donatien
- In:
Quantitative finance and economics
1
(
2017
)
2
,
pp. 145-173
Persistent link: https://www.econbiz.de/10012137762
Saved in:
28
Pairs trading with a mean-reverting
jump-diffusion
model
on high-frequency data
Stübinger, Johannes
;
Endres, Sylvia
-
2017
This paper develops a pairs trading framework based on a mean-reverting
jump-diffusion
model
and applies it to minute …
Persistent link: https://www.econbiz.de/10011640333
Saved in:
29
Dynamic asset price jumps and the performance of high frequency tests and measures
Maneesoonthorn, Worapree
;
Martin, Gael M.
;
Forbes, …
-
2017
Persistent link: https://www.econbiz.de/10011782238
Saved in:
30
Willow tree algorithms for pricing VIX derivatives under stochastic volatility models
Ma, Changfu
;
Xu, Wei
;
Kwok, Yue-Kuen
- In:
International journal of financial engineering
7
(
2020
)
1
,
pp. 1-28
Persistent link: https://www.econbiz.de/10012602678
Saved in:
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