Similar Search Results - EconBiz

Bayesian estimation of asymmetric jump-diffusion processes

Frame, Samuel J.; Ramezani, Cyrus A. - In: Annals of financial economics 9 (2014) 3, pp. 1-29

Persistent link: https://www.econbiz.de/10010512597

Option pricing with a levy-type stochastic dynamic model for stock price process under semi-Markovian structural perturbations

Assonken, Patrick; Ladde, Gangaram S. - In: International journal of theoretical and applied finance 18 (2015) 8, pp. 1-72

Persistent link: https://www.econbiz.de/10011419362

Quick or persistent? : strategic investment demanding versatility

Steg, Jan-Henrik; Thijssen, Jacco J. J. - 2015

In this paper we analyse a dynamic model of investment under uncertainty in a duopoly, in which each firm has an option to switch from the present market to a new market. We construct a subgame perfect equilibrium in mixed strategies and show that both preemption and attrition can occur along...

Persistent link: https://www.econbiz.de/10011284232

Are regime-shift sources of risk priced in the market?

Chourdakis, Kyriakos; Dendramis, Yiannis; Tzavalis, Elias - In: Journal of empirical finance 28 (2014), pp. 151-170

Persistent link: https://www.econbiz.de/10011285074

Dynamic optimal capital structure with regime switching

Elliott, Robert J.; Shen, Jia - In: Annals of finance 11 (2015) 2, pp. 199-220

Persistent link: https://www.econbiz.de/10011376180

Bayesian DEJD model and detection of asymmetry in jump sizes

Kostrzewski, Maciej - In: Central European journal of economic modelling and … 7 (2015) 1, pp. 43-70

Persistent link: https://www.econbiz.de/10011305742

Pricing annuity guarantees under a double regime-switching model

Fan, Kun; Shen, Yang; Siu, Tak Kuen; Wang, Rongming - In: Insurance / Mathematics & economics 62 (2015), pp. 62-78

Persistent link: https://www.econbiz.de/10011312087

Currency derivatives pricing for Markov-modulated Merton jump-diffusion spot forex rate

Sviščuk, Anatolij; Tertychnyi, Maksym; Hoang, Winsor - In: Journal of mathematical finance 4 (2014) 4, pp. 265-278

Persistent link: https://www.econbiz.de/10011312416

A fractal version of the Hull-White interest rate model

Hainaut, Donatien - In: Economic modelling 31 (2013), pp. 323-334

Persistent link: https://www.econbiz.de/10009729087

Monte Carlo derivative pricing with partial information in a class of doubly stochastic poisson processes with marks

Centanni, Silvia; Minozzo, Marco - In: International journal of theoretical and applied finance 15 (2012) 3, pp. 1-22

Persistent link: https://www.econbiz.de/10009624500

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