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Firm decisions under jump-diffusive dynamics
Deopa, Neha; Rinaldo, Daniele - 2019
We present a model of firm investment under uncertainty and partial irreversibility in which uncertainty is represented by a jump diffusion. This allows to represent both the continuous Gaussian volatility and the discontinuous uncertainty related to information arrival, sudden changes and large...
Persistent link: https://www.econbiz.de/10011987374
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Localising temperature risk
Härdle, Wolfgang; López Cabrera, Brenda; Okhrin, Ostap; … - 2010
order to apply pricing tools of financial mathematics, one needs to isolate a Gaussian risk factor. A conventional model for … Gaussian variable appears. Earlier work investigated this temperature risk in dfferent locations and showed that neither … accurate fitting procedure of localised temperature risk process by achieving excellent normal risk factors. -- Weather …
Persistent link: https://www.econbiz.de/10008772624
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Probabilistic aspects of financial risk
Föllmer, Hans - 2000
Persistent link: https://www.econbiz.de/10001550562
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An arbitrage-free approach to quasi-option value
Coggins, Jay S. - In: Journal of environmental economics and management : … 35 (1998) 2, pp. 103-125
Persistent link: https://www.econbiz.de/10001239795
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Modeling market risk in a jump-diffusion setting : a generalized Hofmann-Platen-Schweizer-Model
Wiesenberg, Holger - 1998
Persistent link: https://www.econbiz.de/10000986536
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The generalized hyperbolic model : financial derivatives and risk measures
Eberlein, Ernst; Prause, Karsten - In: Mathematical finance - Bachelier Congress, 2000 : …, (pp. 245-267). 2002
Persistent link: https://www.econbiz.de/10001679450
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Option prices in a model with stochastic disaster risk
Seo, Sang Byung; Wachter, Jessica - 2013
Persistent link: https://www.econbiz.de/10010210684
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Empirischer Vergleich von Optionspreismodellen auf Basis Zeitdeformierter Lévy-Prozesse : Kalibrierung, Hedging, Modellrisiko
Dahlbokum, Achim - 2008 - 1. Aufl.
Persistent link: https://www.econbiz.de/10013432982
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Real option pricing with mean-reverting investment and project value
Jaimungal, Sebastian; Souza, Max O. de; Zubelli, Jorge P. - In: The European journal of finance 19 (2013) 7/8, pp. 625-644
Persistent link: https://www.econbiz.de/10010244747