The extension from independence to dependence between jump frequency and jump size in Markov-modulated jump diffusion models

The North American Journal of Economics and Finance ◽

10.1016/j.najef.2016.04.003 ◽

2016 ◽

Vol 37 ◽

pp. 217-235 ◽

Cited By ~ 1

Author(s):

Shih-Kuei Lin ◽

Jin-Lung Peng ◽

Wei-Hsiung Chao ◽

An-Chi Wu

Keyword(s):

Jump Diffusion ◽

Diffusion Models ◽

Jump Frequency ◽

Jump Size ◽

Markov Modulated

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Numerical Methods for Optimal Dividend Payment and Investment Strategies of Markov-Modulated Jump Diffusion Models with Regular and Singular Controls

Journal of Optimization Theory and Applications ◽

10.1007/s10957-012-0263-7 ◽

2013 ◽

Vol 159 (1) ◽

pp. 246-271 ◽

Cited By ~ 10

Author(s):

Zhuo Jin ◽

G. Yin

Keyword(s):

Numerical Methods ◽

Jump Diffusion ◽

Diffusion Models ◽

Investment Strategies ◽

Dividend Payment ◽

Singular Controls ◽

Optimal Dividend ◽

Markov Modulated

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Optimal Investment for the Insurers in Markov-Modulated Jump-Diffusion Models

Computational Economics ◽

10.1007/s10614-014-9454-7 ◽

2014 ◽

Vol 46 (1) ◽

pp. 143-156 ◽

Cited By ~ 1

Author(s):

Jinzhi Li ◽

Haiying Liu

Keyword(s):

Optimal Investment ◽

Jump Diffusion ◽

Diffusion Models ◽

Markov Modulated

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Markov-modulated jump-diffusion models for the short rate: Pricing of zero coupon bonds and convexity adjustment

Applied Mathematics and Computation ◽

10.1016/j.amc.2020.125854 ◽

2021 ◽

Vol 395 ◽

pp. 125854

Author(s):

Oscar López ◽

Gerardo Oleaga ◽

Alejandra Sánchez

Keyword(s):

Jump Diffusion ◽

Diffusion Models ◽

Markov Modulated ◽

Convexity Adjustment

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Implicit-Explicit Method for American Options in Jump-Diffusion Models with Stochastic Volatility

SSRN Electronic Journal ◽

10.2139/ssrn.1107646 ◽

2008 ◽

Author(s):

Svetlana I. Boyarchenko ◽

Sergei Z. Levendorskii

Keyword(s):

Stochastic Volatility ◽

American Options ◽

Jump Diffusion ◽

Diffusion Models ◽

Explicit Method

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Out-of-Sample Performance of Jump-Diffusion Models for Equity Indices: What the Financial Crisis Was Good for

SSRN Electronic Journal ◽

10.2139/ssrn.2022909 ◽

2012 ◽

Author(s):

Paulo Rodrigues ◽

Norman Seeger ◽

Roman Frey

Keyword(s):

Financial Crisis ◽

Jump Diffusion ◽

Diffusion Models ◽

Out Of Sample ◽

Good For ◽

Equity Indices

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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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Computation of the unknown volatility from integral option price observations in jump–diffusion models

Mathematics and Computers in Simulation ◽

10.1016/j.matcom.2021.05.008 ◽

2021 ◽

Author(s):

Slavi G. Georgiev ◽

Lubin G. Vulkov

Keyword(s):

Option Price ◽

Jump Diffusion ◽

Diffusion Models

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Convoluted smoothed kernel estimation for drift coefficients in jump-diffusion models

Communication in Statistics- Theory and Methods ◽

10.1080/03610926.2021.1872641 ◽

2021 ◽

pp. 1-35

Author(s):

Naiqi Liu ◽

Kunyang Song ◽

Yuping Song ◽

Xiaochen Wang

Keyword(s):

Kernel Estimation ◽

Jump Diffusion ◽

Diffusion Models ◽

Smoothed Kernel

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A time multidomain spectral method for valuing affine stochastic volatility and jump diffusion models

Communications in Nonlinear Science and Numerical Simulation ◽

10.1016/j.cnsns.2019.105159 ◽

2020 ◽

Vol 84 ◽

pp. 105159

Author(s):

Claude Rodrigue Bambe Moutsinga ◽

Edson Pindza ◽

Eben Maré

Keyword(s):

Stochastic Volatility ◽

Spectral Method ◽

Jump Diffusion ◽

Diffusion Models

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A comparative analysis of housing prices in different cities using the Black–Scholes and Jump Diffusion models

Finance Research Letters ◽

10.1016/j.frl.2021.102241 ◽

2021 ◽

pp. 102241

Author(s):

Sebeom Oh ◽

Hyejin Ku ◽

Doobae Jun

Keyword(s):

Comparative Analysis ◽

Housing Prices ◽

Jump Diffusion ◽

Diffusion Models ◽

Black Scholes

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