Optimal iterative threshold-kernel estimation of jump diffusion processes

Statistical Inference for Stochastic Processes ◽

10.1007/s11203-020-09211-7 ◽

2020 ◽

Vol 23 (3) ◽

pp. 517-552

Author(s):

José E. Figueroa-López ◽

Cheng Li ◽

Jeffrey Nisen

Keyword(s):

Diffusion Processes ◽

Kernel Estimation ◽

Jump Diffusion ◽

Jump Diffusion Processes ◽

Iterative Threshold

Download Full-text

Real Options Under Jump Diffusion Processes: What Types of Jumps?

SSRN Electronic Journal ◽

10.2139/ssrn.1361576 ◽

2009 ◽

Author(s):

Xianfeng Jiang ◽

Yongdong Shi ◽

George J. Jiang

Keyword(s):

Real Options ◽

Diffusion Processes ◽

Jump Diffusion ◽

Jump Diffusion Processes

Download Full-text

Perpetual American Put with Spectrally Negative Jump - Uniform & Binomial Jump Diffusion Processes

SSRN Electronic Journal ◽

10.2139/ssrn.2543719 ◽

2014 ◽

Author(s):

Binh Thanh Dao ◽

Monique Jeanblanc ◽

Nadine Bellamy

Keyword(s):

Diffusion Processes ◽

Jump Diffusion ◽

Jump Diffusion Processes ◽

American Put ◽

Download Full-text

Estimation of Jump-Diffusion Processes via Empirical Characteristic Functions

SSRN Electronic Journal ◽

10.2139/ssrn.675202 ◽

2005 ◽

Author(s):

Michael Rockinger ◽

Maria Semenova

Keyword(s):

Diffusion Processes ◽

Jump Diffusion ◽

Characteristic Functions ◽

Jump Diffusion Processes

Download Full-text

Pricing American Options on Jump-Diffusion Processes Using Fourier Hermite Series Expansions

SSRN Electronic Journal ◽

10.2139/ssrn.893090 ◽

2005 ◽

Author(s):

Carl Chiarella ◽

Andrew Ziogas

Keyword(s):

Diffusion Processes ◽

American Options ◽

Jump Diffusion ◽

Series Expansions ◽

Jump Diffusion Processes ◽

Download Full-text

Jump diffusion processes and their applications in insurance and finance

Insurance Mathematics and Economics ◽

10.1016/j.insmatheco.2006.09.006 ◽

2007 ◽

Vol 41 (1) ◽

pp. 62-70 ◽

Author(s):

Jiwook Jang

Keyword(s):

Diffusion Processes ◽

Jump Diffusion ◽

Jump Diffusion Processes

Download Full-text

Capacity expansion with exponential jump diffusion processes

Stochastics and Stochastics Reports ◽

10.1080/1045112031000155696 ◽

2003 ◽

Vol 75 (4) ◽

pp. 259-274 ◽

Author(s):

Hui Wang

Keyword(s):

Diffusion Processes ◽

Jump Diffusion ◽

Capacity Expansion ◽

Jump Diffusion Processes

Download Full-text

Pricing vulnerable options with correlated jump-diffusion processes depending on various states of the economy

Quantitative Finance ◽

10.1080/14697688.2015.1090623 ◽

2016 ◽

Vol 16 (7) ◽

pp. 1129-1145 ◽

Author(s):

Huawei Niu ◽

Dingcheng Wang

Keyword(s):

Diffusion Processes ◽

Jump Diffusion ◽

Jump Diffusion Processes ◽

Vulnerable Options

Download Full-text

Implicit–explicit numerical schemes for jump–diffusion processes

CALCOLO ◽

10.1007/s10092-007-0128-x ◽

2007 ◽

Vol 44 (1) ◽

pp. 33-57 ◽

Author(s):

Maya Briani ◽

Roberto Natalini ◽

Giovanni Russo

Keyword(s):

Diffusion Processes ◽

Jump Diffusion ◽

Numerical Schemes ◽

Jump Diffusion Processes

Download Full-text

An Empirical Analysis of Equity Market Expectations in the Financial Turmoil Using Implied Moments and Jump Diffusion Processes

Recent Advances in Financial Engineering 2010 ◽

10.1142/9789814366038_0009 ◽

2011 ◽

Author(s):

Yoshihiko Sugihara ◽

Nobuyuki Oda

Keyword(s):

Empirical Analysis ◽

Diffusion Processes ◽

Jump Diffusion ◽

Equity Market ◽

Jump Diffusion Processes ◽

Market Expectations

Download Full-text

Replacement Investment Decisions under Jump Diffusion Processes

Journal of Real Options and Strategy ◽

10.12949/realopn.4.33 ◽

2011 ◽

Vol 4 (1) ◽

pp. 33-46

Author(s):

Jing-Hui Dong ◽

Yoshio Iihara

Keyword(s):

Diffusion Processes ◽

Investment Decisions ◽

Jump Diffusion ◽

Jump Diffusion Processes ◽

Replacement Investment

Download Full-text