EconBiz - Find Economic Literature
    • Logout
    • Change account settings
  • A-Z
  • Beta
  • About EconBiz
  • News
  • Thesaurus (STW)
  • Academic Skills
  • Help
  •  My account 
    • Logout
    • Change account settings
  • Login
EconBiz - Find Economic Literature
Publications Events
Search options
Advanced Search history
My EconBiz
Favorites Loans Reservations Fines
    You are here:
  • Home
  • Search: subject:"Jump diffusion model"
Narrow search

Narrow search

Year of publication
Subject
All
Optionspreistheorie 58 Option pricing theory 57 Stochastic process 54 Stochastischer Prozess 53 Volatility 35 Volatilität 35 jump-diffusion model 27 Option trading 22 Optionsgeschäft 22 Jump-diffusion model 20 CAPM 17 Jump diffusion model 14 Portfolio selection 14 Portfolio-Management 14 jump diffusion model 12 Börsenkurs 10 Monte Carlo simulation 10 Share price 10 Black-Scholes model 9 Black-Scholes-Modell 9 Theorie 9 Theory 9 Derivat 8 Derivative 8 Markov chain 8 Markov-Kette 8 Monte-Carlo-Simulation 8 Schätztheorie 8 Estimation theory 7 Risk 7 Option pricing 6 Risiko 6 Statistische Verteilung 6 Time series analysis 6 Zeitreihenanalyse 6 Bayes-Statistik 5 Bayesian inference 5 Capital income 5 Estimation 5 Kapitaleinkommen 5
more ... less ...
Online availability
All
Undetermined 55 Free 39
Type of publication
All
Article 90 Book / Working Paper 31
Type of publication (narrower categories)
All
Article in journal 60 Aufsatz in Zeitschrift 60 Working Paper 12 Graue Literatur 8 Non-commercial literature 8 Arbeitspapier 7 Article 3 Aufsatz im Buch 3 Book section 3 Conference paper 1 Hochschulschrift 1 Konferenzbeitrag 1 Thesis 1 research-article 1
more ... less ...
Language
All
English 89 Undetermined 31 German 1
Author
All
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
more ... less ...
Institution
All
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
more ... less ...
Published in...
All
Computational economics 4 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 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 The European journal of finance 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
more ... less ...
Source
All
ECONIS (ZBW) 71 RePEc 37 EconStor 9 BASE 2 Other ZBW resources 2
Showing 81 - 90 of 121
Cover Image
Perpetual barrier options in jump-diffusion models
Gapeev, Pavel V. - 2006
We present a closed form solution to the perpetual American double barrier call option problem in a model driven by Brownian motion and a compound Poisson process with exponential jumps. The method of proof is based on reducing the inital irregular optimal stopping problem to an...
Persistent link: https://www.econbiz.de/10010263649
Saved in:
Cover Image
Perpetual Barrier Options in Jump-Diffusion Models
Gapeev, Pavel V. - Sonderforschungsbereich 649: Ökonomisches Risiko, … - 2006
We present a closed form solution to the perpetual American double barrier call option problem in a model driven by a Brownian motion and a compound Poisson process with exponential jumps. The method of proof is based on reducing the initial irregular optimal stopping problem to an...
Persistent link: https://www.econbiz.de/10005784840
Saved in:
Cover Image
Empirical Performance Study of Alternative Option Pricing Models: An Application to the French Option Market
Aboura, Sofiane - Université Paris-Dauphine (Paris IX) - 2013
The mispricing of the deep-in-the money and deep-out-the-money generated by the Black and Scholes model is now well documented in the literature. In this paper, we discuss different option valuation models on the basis of empirical tests carry out on the French option market. We examine methods...
Persistent link: https://www.econbiz.de/10010891140
Saved in:
Cover Image
The role of jump dynamics in the risk–return relationship
Arshanapalli, Bala; Fabozzi, Frank J.; Nelson, William - In: International Review of Financial Analysis 29 (2013) C, pp. 212-218
Surprisingly, a positive risk–return relationship has not been consistently observed for the traditional GARCH in the mean model in other studies. In this paper, we employ a combination of the jump diffusion and GARCH model in the mean equation to test the risk–return relationship for U.S....
Persistent link: https://www.econbiz.de/10010741739
Saved in:
Cover Image
A Markov regime switching jump-diffusion model for the pricing of portfolio credit derivatives
Liang, Xue; Wang, Guojing; Dong, Yinghui - In: Statistics & Probability Letters 83 (2013) 1, pp. 373-381
The class of reduced form models is a very important class of credit risk models, and the modeling of the default dependence structure is essential in the reduced form models. This paper proposes a thinning-dependent structure model in the reduced form framework. The intensity process is the...
Persistent link: https://www.econbiz.de/10010593910
Saved in:
Cover Image
Rare event risk and emerging market debt with heterogeneous beliefs
Dieckmann, Stephan; Gallmeyer, Michael - In: Journal of International Money and Finance 33 (2013) C, pp. 163-187
In a setting where the lender and the borrower have heterogeneous beliefs about the likelihood of a disastrous shock to the borrower's economy, we study the debt contract that defaults at the occurrence of that shock, as proposed by Barro (2006). We find that a higher belief by the lender...
Persistent link: https://www.econbiz.de/10010636242
Saved in:
Cover Image
Robust portfolio choice with uncertainty about jump and diffusion risk
Branger, Nicole; Larsen, Linda Sandris - In: Journal of Banking & Finance 37 (2013) 12, pp. 5036-5047
We analyze the portfolio planning problem of an ambiguity averse investor. The stock follows a jump-diffusion process. We find that there are pronounced differences between ambiguity aversion with respect to diffusion risk and jump risk. Ignoring ambiguity with respect to jump risk causes larger...
Persistent link: https://www.econbiz.de/10010709491
Saved in:
Cover Image
Pricing participating products with Markov-modulated jump–diffusion process: An efficient numerical PIDE approach
Fard, Farzad Alavi; Siu, Tak Kuen - In: Insurance: Mathematics and Economics 53 (2013) 3, pp. 712-721
We propose a model for the valuation of participating life insurance products under a generalized jump–diffusion model …
Persistent link: https://www.econbiz.de/10010719098
Saved in:
Cover Image
Freight options: Price modelling and empirical analysis
Nomikos, Nikos K.; Kyriakou, Ioannis; Papapostolou, Nikos C. - In: Transportation Research Part E: Logistics and … 51 (2013) C, pp. 82-94
computational efficiency of the proposed pricing scheme, we calibrate the jump diffusion model using market quotes of options on the …
Persistent link: https://www.econbiz.de/10010754974
Saved in:
Cover Image
Optimal selling of an asset with jumps under incomplete information
Lu, Bing - In: Applied mathematical finance 20 (2013) 5/6, pp. 599-610
Persistent link: https://www.econbiz.de/10010235555
Saved in:
  • First
  • Prev
  • 3
  • 4
  • 5
  • 6
  • 7
  • 8
  • 9
  • 10
  • 11
  • 12
  • 13
  • Next
  • Last
A service of the
zbw
  • Sitemap
  • Plain language
  • Accessibility
  • Contact us
  • Imprint
  • Privacy

Loading...