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Analytical representations for the basic affine jump diffusion
Operations Research Letters
◽
10.1016/j.orl.2015.12.003
◽
2016
◽
Vol 44
(1)
◽
pp. 121-128
◽
Cited By ~ 5
Author(s):
Lingfei Li
◽
Rafael Mendoza-Arriaga
◽
Daniel Mitchell
Keyword(s):
Jump Diffusion
◽
Basic Affine
Download Full-text
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References
Positive Harris recurrence and exponential ergodicity of the basic affine jump-diffusion
Stochastic Analysis and Applications
◽
10.1080/07362994.2015.1105752
◽
2015
◽
Vol 34
(1)
◽
pp. 75-95
◽
Cited By ~ 4
Author(s):
Peng Jin
◽
Barbara Rüdiger
◽
Chiraz Trabelsi
Keyword(s):
Jump Diffusion
◽
Exponential Ergodicity
◽
Harris Recurrence
◽
Basic Affine
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Analytical Representations for the Basic Affine Jump Diffusion
SSRN Electronic Journal
◽
10.2139/ssrn.2618864
◽
2015
◽
Cited By ~ 2
Author(s):
Lingfei Li
◽
Rafael Mendoza-Arriaga
◽
Daniel Mitchell
Keyword(s):
Jump Diffusion
◽
Basic Affine
Download Full-text
Optimal investment and reinsurance strategies under jump-diffusion process
Modern Engineering Solutions for the Industry (Set)
◽
10.2495/mesi140451
◽
2014
◽
Author(s):
Suoping Li
◽
Jinliang Fan
◽
Xinxin Jiang
Keyword(s):
Diffusion Process
◽
Optimal Investment
◽
Jump Diffusion
◽
Jump Diffusion Process
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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
Download Full-text
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
◽
Cited By ~ 3
Author(s):
Rikard Green
◽
Marcus Nossman
Keyword(s):
Diffusion Model
◽
Jump Diffusion
◽
Mcmc Estimation
◽
Jump Diffusion Model
Download Full-text
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
◽
Cited By ~ 4
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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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
Download Full-text
A Jump-Diffusion Nominal Short Rate Model
SSRN Electronic Journal
◽
10.2139/ssrn.1282220
◽
2010
◽
Author(s):
Sami Attaoui
◽
Pierre Six
Keyword(s):
Jump Diffusion
◽
Rate Model
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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
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
Download Full-text
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