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 ◽

Author(s):

Peng Jin ◽

Barbara Rüdiger ◽

Chiraz Trabelsi

Keyword(s):

Jump Diffusion ◽

Exponential Ergodicity ◽

Harris Recurrence ◽

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Exponential Ergodicity of the Jump-Diffusion CIR Process

Stochastics of Environmental and Financial Economics - Springer Proceedings in Mathematics & Statistics ◽

10.1007/978-3-319-23425-0_11 ◽

2015 ◽

pp. 285-300 ◽

Author(s):

Peng Jin ◽

Barbara Rüdiger ◽

Chiraz Trabelsi

Keyword(s):

Jump Diffusion ◽

Exponential Ergodicity ◽

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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 ◽

Author(s):

Lingfei Li ◽

Rafael Mendoza-Arriaga ◽

Daniel Mitchell

Keyword(s):

Jump Diffusion ◽

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Analytical Representations for the Basic Affine Jump Diffusion

SSRN Electronic Journal ◽

10.2139/ssrn.2618864 ◽

2015 ◽

Author(s):

Lingfei Li ◽

Rafael Mendoza-Arriaga ◽

Daniel Mitchell

Keyword(s):

Jump Diffusion ◽

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On Feller and Strong Feller Properties and Exponential Ergodicity of Regime-Switching Jump Diffusion Processes with Countable Regimes

SIAM Journal on Control and Optimization ◽

10.1137/16m1087837 ◽

2017 ◽

Vol 55 (3) ◽

pp. 1789-1818 ◽

Author(s):

Fubao Xi ◽

Chao Zhu

Keyword(s):

Regime Switching ◽

Diffusion Processes ◽

Jump Diffusion ◽

Exponential Ergodicity ◽

Jump Diffusion Processes ◽

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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

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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 ◽

Author(s):

Rikard Green ◽

Marcus Nossman

Keyword(s):

Diffusion Model ◽

Jump Diffusion ◽

Mcmc Estimation ◽

Jump Diffusion Model

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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 ◽

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

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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 ◽

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