A novel combination of Mycielski–Markov, regime switching and jump diffusion models for solar energy

Applied Energy ◽

10.1016/j.apenergy.2021.117457 ◽

2021 ◽

Vol 301 ◽

pp. 117457

Author(s):

Xiaodong Song ◽

Paul Johnson ◽

Peter Duck

Keyword(s):

Solar Energy ◽

Regime Switching ◽

Jump Diffusion ◽

Diffusion Models ◽

Markov Regime Switching

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Optimal consumption and investment strategies with liquidity risk and lifetime uncertainty for Markov regime-switching jump diffusion models

European Journal of Operational Research ◽

10.1016/j.ejor.2019.07.066 ◽

2020 ◽

Vol 280 (3) ◽

pp. 1130-1143 ◽

Author(s):

Zhuo Jin ◽

Guo Liu ◽

Hailiang Yang

Keyword(s):

Regime Switching ◽

Liquidity Risk ◽

Jump Diffusion ◽

Diffusion Models ◽

Optimal Consumption ◽

Investment Strategies ◽

Markov Regime Switching ◽

Lifetime Uncertainty ◽

Optimal Consumption And Investment

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Numerical Schemes for Pricing Asian Options Under State-Dependent Regime-Switching Jump-Diffusion Models

SSRN Electronic Journal ◽

10.2139/ssrn.2571507 ◽

2015 ◽

Author(s):

Duy-Minh Dang ◽

Duy Nguyen ◽

Granville Sewell

Keyword(s):

Regime Switching ◽

Jump Diffusion ◽

Diffusion Models ◽

Asian Options ◽

Numerical Schemes ◽

State Dependent

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An IMEX‐BDF2 compact scheme for pricing options under regime‐switching jump‐diffusion models

Mathematical Methods in the Applied Sciences ◽

10.1002/mma.5539 ◽

2019 ◽

Vol 42 (8) ◽

pp. 2646-2663 ◽

Author(s):

Yingzi Chen ◽

Aiguo Xiao ◽

Wansheng Wang

Keyword(s):

Regime Switching ◽

Jump Diffusion ◽

Diffusion Models ◽

Compact Scheme ◽

Pricing Options

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A front-fixing finite element method for pricing American options under regime-switching jump-diffusion models

Computational and Applied Mathematics ◽

10.1007/s40314-017-0540-z ◽

2017 ◽

Vol 37 (3) ◽

pp. 3691-3707 ◽

Author(s):

S. Heidari ◽

H. Azari

Keyword(s):

Finite Element Method ◽

Finite Element ◽

Regime Switching ◽

American Options ◽

Jump Diffusion ◽

Diffusion Models ◽

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A Markov regime switching jump-diffusion model for the pricing of portfolio credit derivatives

Statistics & Probability Letters ◽

10.1016/j.spl.2012.10.003 ◽

2013 ◽

Vol 83 (1) ◽

pp. 373-381 ◽

Author(s):

Xue Liang ◽

Guojing Wang ◽

Yinghui Dong

Keyword(s):

Diffusion Model ◽

Regime Switching ◽

Credit Derivatives ◽

Jump Diffusion ◽

Markov Regime Switching ◽

Jump Diffusion Model ◽

Portfolio Credit Derivatives

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Option pricing under regime-switching jump–diffusion models

Journal of Computational and Applied Mathematics ◽

10.1016/j.cam.2013.07.046 ◽

2014 ◽

Vol 256 ◽

pp. 152-167 ◽

Author(s):

Massimo Costabile ◽

Arturo Leccadito ◽

Ivar Massabó ◽

Emilio Russo

Keyword(s):

Option Pricing ◽

Regime Switching ◽

Jump Diffusion ◽

Diffusion Models

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A tree approach to options pricing under regime-switching jump diffusion models

International Journal of Computer Mathematics ◽

10.1080/00207160.2015.1073266 ◽

2015 ◽

Vol 92 (12) ◽

pp. 2575-2595 ◽

Author(s):

R.H. Liu ◽

D. Nguyen

Keyword(s):

Regime Switching ◽

Jump Diffusion ◽

Diffusion Models ◽

Options Pricing ◽

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VaR-Optimal Risk Management in Regime-Switching Jump-Diffusion Models

Journal of Mathematical Finance ◽

10.4236/jmf.2013.31009 ◽

2013 ◽

Vol 03 (01) ◽

pp. 103-109 ◽

Author(s):

Alessandro Ramponi

Keyword(s):

Risk Management ◽

Regime Switching ◽

Jump Diffusion ◽

Diffusion Models

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Optimal reinsurance strategies in regime-switching jump diffusion models: Stochastic differential game formulation and numerical methods

Insurance Mathematics and Economics ◽

10.1016/j.insmatheco.2013.09.015 ◽

2013 ◽

Vol 53 (3) ◽

pp. 733-746 ◽

Author(s):

Zhuo Jin ◽

G. Yin ◽

Fuke Wu

Keyword(s):

Numerical Methods ◽

Differential Game ◽

Regime Switching ◽

Jump Diffusion ◽

Diffusion Models ◽

Stochastic Differential Game ◽

Optimal Reinsurance

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A Stochastic Maximum Principle for a Markov Regime-Switching Jump-Diffusion Model with Delay and an Application to Finance

Journal of Optimization Theory and Applications ◽

10.1007/s10957-017-1159-3 ◽

2017 ◽

Vol 179 (2) ◽

pp. 696-721 ◽

Author(s):

Emel Savku ◽

Gerhard-Wilhelm Weber

Keyword(s):

Maximum Principle ◽

Diffusion Model ◽

Regime Switching ◽

Jump Diffusion ◽

Stochastic Maximum Principle ◽

Markov Regime Switching ◽

Jump Diffusion Model

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