Viscosity Solutions of Integro-Differential Equations and Passport Options in a Jump-Diffusion Model

Journal of Optimization Theory and Applications ◽

10.1007/s10957-013-0382-9 ◽

2013 ◽

Vol 161 (1) ◽

pp. 122-144 ◽

Author(s):

Yang Wang ◽

Baojun Bian ◽

Jizhou Zhang

Keyword(s):

Differential Equations ◽

Diffusion Model ◽

Viscosity Solutions ◽

Jump Diffusion ◽

Jump Diffusion Model ◽

Passport Options

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A viscosity solution approach to valuation of passport options in a jump-diffusion model

10.1109/chicc.2008.4605901 ◽

2008 ◽

Author(s):

Baojun Bian ◽

Yang Wang

Keyword(s):

Diffusion Model ◽

Viscosity Solution ◽

Jump Diffusion ◽

Solution Approach ◽

Jump Diffusion Model ◽

Passport Options

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The Pricing of Vulnerable Options Under Jump-Diffusion Model

Acta Analysis Functionalis Applicata ◽

10.3724/sp.j.1160.2013.00204 ◽

2013 ◽

Vol 15 (3) ◽

pp. 204

Author(s):

Chixiang CHEN ◽

Biyi SHEN ◽

Guangyu YANG

Keyword(s):

Diffusion Model ◽

Jump Diffusion ◽

Jump Diffusion Model ◽

Vulnerable Options

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MCMC estimation of a multi-factor jump diffusion model for power prices

The Journal of Energy Markets ◽

10.21314/jem.2008.016 ◽

2008 ◽

Vol 1 (4) ◽

pp. 65-90 ◽

Author(s):

Rikard Green ◽

Marcus Nossman

Keyword(s):

Diffusion Model ◽

Jump Diffusion ◽

Mcmc Estimation ◽

Jump Diffusion Model

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A canonical optimal stopping problem for American options under a double exponential jump-diffusion model

The Journal of Risk ◽

10.21314/jor.2007.154 ◽

2007 ◽

Vol 10 (1) ◽

pp. 85-100 ◽

Author(s):

Farid AitSahlia ◽

Andreas Runnemo

Keyword(s):

Diffusion Model ◽

Optimal Stopping ◽

American Options ◽

Jump Diffusion ◽

Optimal Stopping Problem ◽

Double Exponential ◽

Jump Diffusion Model

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A Revision of the Merton Jump-Diffusion Model: A Simple, Closed-Form Formula

SSRN Electronic Journal ◽

10.2139/ssrn.3412520 ◽

2019 ◽

Author(s):

Moawia Alghalith

Keyword(s):

Closed Form ◽

Diffusion Model ◽

Jump Diffusion ◽

Jump Diffusion Model ◽

Closed Form Formula

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Analytic Formulas for Futures and Options for a Linear Quadratic Jump Diffusion Model with Stochastic Convenience Yield and Seasonality: Do Fish Jump?

SSRN Electronic Journal ◽

10.2139/ssrn.3549778 ◽

2019 ◽

Author(s):

Christian-Oliver Ewald ◽

Yihan Zou

Keyword(s):

Diffusion Model ◽

Jump Diffusion ◽

Convenience Yield ◽

Linear Quadratic ◽

Jump Diffusion Model ◽

Futures And Options ◽

Stochastic Convenience Yield

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Analytic Formulas for Futures and Options for a Linear Quadratic Jump Diffusion Model with Stochastic Convenience Yield and Seasonality: Do Fish Jump?

SSRN Electronic Journal ◽

10.2139/ssrn.3555109 ◽

2019 ◽

Author(s):

Christian-Oliver Ewald ◽

Yihan Zou

Keyword(s):

Diffusion Model ◽

Jump Diffusion ◽

Convenience Yield ◽

Linear Quadratic ◽

Jump Diffusion Model ◽

Futures And Options ◽

Stochastic Convenience Yield

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Pricing stock options in mergers and acquisitions with jump-diffusion model

2008 American Control Conference ◽

10.1109/acc.2008.4586623 ◽

2008 ◽

Author(s):

Chaoxiao Lu ◽

Stephen Yau

Keyword(s):

Mergers And Acquisitions ◽

Diffusion Model ◽

Stock Options ◽

Jump Diffusion ◽

Jump Diffusion Model

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Bayesian Inference for the Jump-Diffusion Model withMJumps

Communication in Statistics- Theory and Methods ◽

10.1080/03610926.2012.755202 ◽

2014 ◽

Vol 43 (18) ◽

pp. 3955-3985 ◽

Author(s):

Maciej Kostrzewski

Keyword(s):

Bayesian Inference ◽

Diffusion Model ◽

Jump Diffusion ◽

Jump Diffusion Model

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The Critical Price of the American Put Near Maturity in the Jump Diffusion Model

SIAM Journal on Financial Mathematics ◽

10.1137/140965910 ◽

2016 ◽

Vol 7 (1) ◽

pp. 236-272

Author(s):

Aych Bouselmi ◽

Damien Lamberton

Keyword(s):

Diffusion Model ◽

Jump Diffusion ◽

Jump Diffusion Model ◽

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