Optimal investment and reinsurance problem with jump-diffusion model

Communication in Statistics- Theory and Methods ◽

10.1080/03610926.2019.1646764 ◽

2019 ◽

pp. 1-17

Author(s):

Mengmeng Guo ◽

Xiu Kan ◽

Huisheng Shu

Keyword(s):

Diffusion Model ◽

Optimal Investment ◽

Jump Diffusion ◽

Jump Diffusion Model

The Optimal Investment Strategy of Urban Households Based on the Jump Diffusion Model

2016 International Conference on Smart City and Systems Engineering (ICSCSE) ◽

10.1109/icscse.2016.0114 ◽

2016 ◽

Author(s):

Wang Aiyin ◽

Pan Dong

Keyword(s):

Diffusion Model ◽

Optimal Investment ◽

Jump Diffusion ◽

Investment Strategy ◽

Urban Households ◽

Optimal Investment Strategy ◽

Jump Diffusion Model

Optimal Investment with High-Watermark Fee in a Multidimensional Jump Diffusion Model

SIAM Journal on Financial Mathematics ◽

10.1137/18m1205066 ◽

2020 ◽

Vol 11 (3) ◽

pp. 750-787

Author(s):

Karel Janeček ◽

Zheng Li ◽

Mihai Sîrbu

Keyword(s):

Diffusion Model ◽

Optimal Investment ◽

Jump Diffusion ◽

Jump Diffusion Model

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

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

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

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

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

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

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

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