Search Results - subject:"Levy Processes"

Option pricing in exponential Lévy models with transaction cost

Cantarutti, Nicola; Guerra, Manuel; Guerra, João; … - In: The journal of computational finance 23 (2020) 5, pp. 1-31

Persistent link: https://www.econbiz.de/10012295860

Modeling and estimation of stochastic transition rates in life insurance with regime switching based on generalized Cox processes

Baños, David; Bølviken, Erik; Duedahl, Sindre; … - In: Scandinavian actuarial journal 2020 (2020) 1, pp. 44-83

Persistent link: https://www.econbiz.de/10012195019

Optimal hedging in incomplete markets

Bouzianis, George; Hughston, Lane P. - In: Applied mathematical finance 27 (2020) 4, pp. 265-287

Persistent link: https://www.econbiz.de/10012425323

Risk-neutral densities : advanced methods of estimating nonnormal options underlying asset prices and returns

Santos, André; Guerra, João - In: The journal of risk model validation 14 (2020) 2, pp. 41-64

Persistent link: https://www.econbiz.de/10014335959

Simultaneously long short trading in discrete and continuous time

Baumann, Michael; Grüne, Lars - 2016

Persistent link: https://www.econbiz.de/10012321486

Multivariate asset models using Lévy processes and applications

Ballotta, Laura; Bonfiglioli, Efrem - In: The European journal of finance 22 (2016) 13/15, pp. 1320-1350

Persistent link: https://www.econbiz.de/10011715430

Solving Optimal Dividend Problems via Phase-Type Fitting Approximation of Scale Functions

Egami, Masahiko; Yamazaki, Kazutoshi - Graduate School of Economics, Kyoto University - 2010

paper proposes a phase-type fitting approximation of the optimal strategy. We consider spectrally negative Lévy processes … with phase-type jumps as well as meromorphic Lévy processes (Kuznetsov et al., 2010a), and use their scale functions to …

Persistent link: https://www.econbiz.de/10011067502

Continuous-Time Public Good Contribution under Uncertainty

Ferrari, Giorgio; Steg, Jan-Henrik; Riedel, Frank - Institut für Mathematische Wirtschaftsforschung, … - 2015

We study a continuous-time problem of public good contribution under uncertainty for an economy with a finite number of agents. Each agent aims to maximize his expected utility allocating his initial wealth over a given time period between private consumption and repeated but irreversible...

Persistent link: https://www.econbiz.de/10011164360

Optimal exchange rates management using stochastic impulse control for geometric Lévy processes

Wu, Jinbiao - In: Mathematical methods of operations research 89 (2019) 2, pp. 257-280

Persistent link: https://www.econbiz.de/10012010370

Sinh-acceleration: efficient evaluation of probability distributions, option pricing, and Monte Carlo simulations

Bojarčenko, Svetlana I.; Levendorskij, Sergej Z. - In: International journal of theoretical and applied finance 22 (2019) 3, pp. 1-49

Persistent link: https://www.econbiz.de/10012019776