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Robust equilibrium strategy for DC pension plan with the return of premiums clauses in a jump-diffusion model
Optimization
◽
10.1080/02331934.2021.1970754
◽
2021
◽
pp. 1-30
Author(s):
Hao Chang
◽
Jiaao Li
Keyword(s):
Diffusion Model
◽
Pension Plan
◽
Jump Diffusion
◽
Equilibrium Strategy
◽
Jump Diffusion Model
◽
Robust Equilibrium
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Cited By
References
A simple numerical solution for an optimal investment strategy for a DC pension plan in a jump diffusion model
Journal of Computational and Applied Mathematics
◽
10.1016/j.cam.2019.03.043
◽
2019
◽
Vol 360
◽
pp. 55-61
◽
Cited By ~ 5
Author(s):
Walter Mudzimbabwe
Keyword(s):
Numerical Solution
◽
Diffusion Model
◽
Pension Plan
◽
Optimal Investment
◽
Jump Diffusion
◽
Investment Strategy
◽
Optimal Investment Strategy
◽
Jump Diffusion Model
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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
◽
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
Download Full-text
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
Download Full-text
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
Download Full-text
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
Download Full-text
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
◽
Cited By ~ 1
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
◽
American Put
Download Full-text
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