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  • Search: subject:"jump-diffusion model"
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Year of publication
Subject
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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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Online availability
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Undetermined 54 Free 36
Type of publication
All
Article 87 Book / Working Paper 30
Type of publication (narrower categories)
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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 Aufsatz im Buch 3 Book section 3 Hochschulschrift 1 Thesis 1 research-article 1
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Language
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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
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
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Published in...
All
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 1 - 10 of 117
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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
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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
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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
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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
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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
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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
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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 12 (2019) 2, 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/10012611147
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The Bayesian methods of jump detection : the example of gas and EUA contract prices
Kostrzewski, Maciej - In: Central European journal of economic modelling and … 11 (2019) 2, pp. 107-131
Persistent link: https://www.econbiz.de/10012294576
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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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Pricing airbag option via first passage time approach
Liu, Zheng; Qian, Xiaosong; Yao, Jing; Dong, Yinghui - In: Quantitative finance 24 (2024) 7, pp. 955-974
Persistent link: https://www.econbiz.de/10015050807
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