Perpetual debt pricing under jump diffusion processes with regime switching

2011 2nd International Conference on Artificial Intelligence, Management Science and Electronic Commerce (AIMSEC) ◽

10.1109/aimsec.2011.6011046 ◽

2011 ◽

Author(s):

XianFeng Jiang ◽

YiFeng He

Keyword(s):

Regime Switching ◽

Diffusion Processes ◽

Jump Diffusion ◽

Debt Pricing ◽

Jump Diffusion Processes

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Option Pricing Under Jump-Diffusion Processes with Regime Switching

Methodology And Computing In Applied Probability ◽

10.1007/s11009-015-9462-7 ◽

2015 ◽

Vol 18 (3) ◽

pp. 829-845 ◽

Author(s):

Nikita Ratanov

Keyword(s):

Option Pricing ◽

Regime Switching ◽

Diffusion Processes ◽

Jump Diffusion ◽

Jump Diffusion Processes

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A new lattice-based scheme for swing option pricing under mean-reverting regime-switching jump–diffusion processes

Journal of Computational and Applied Mathematics ◽

10.1016/j.cam.2020.113132 ◽

2021 ◽

Vol 383 ◽

pp. 113132

Author(s):

Z. Ahmadi ◽

S.M. Hosseini ◽

A. Foroush Bastani

Keyword(s):

Option Pricing ◽

Regime Switching ◽

Diffusion Processes ◽

Jump Diffusion ◽

Jump Diffusion Processes ◽

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Stability of regime-switching jump diffusion processes

Journal of Mathematical Analysis and Applications ◽

10.1016/j.jmaa.2019.123727 ◽

2020 ◽

Vol 484 (1) ◽

pp. 123727 ◽

Author(s):

Huijie Ji ◽

Jinghai Shao ◽

Fubao Xi

Keyword(s):

Regime Switching ◽

Diffusion Processes ◽

Jump Diffusion ◽

Jump Diffusion Processes

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On Feller and strong Feller properties and irreducibility of regime-switching jump diffusion processes with countable regimes

Nonlinear Analysis Hybrid Systems ◽

10.1016/j.nahs.2020.100946 ◽

2020 ◽

Vol 38 ◽

pp. 100946

Author(s):

Khwanchai Kunwai ◽

Chao Zhu

Keyword(s):

Regime Switching ◽

Diffusion Processes ◽

Jump Diffusion ◽

Jump Diffusion Processes ◽

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A high order finite element scheme for pricing options under regime switching jump diffusion processes

Journal of Computational and Applied Mathematics ◽

10.1016/j.cam.2015.12.019 ◽

2016 ◽

Vol 300 ◽

pp. 83-96 ◽

Author(s):

Nisha Rambeerich ◽

Athanasios A. Pantelous

Keyword(s):

Finite Element ◽

Regime Switching ◽

Diffusion Processes ◽

Jump Diffusion ◽

Finite Element Scheme ◽

Element Scheme ◽

Pricing Options ◽

Jump Diffusion Processes

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Optimal stopping problem for jump–diffusion processes with regime-switching

Nonlinear Analysis Hybrid Systems ◽

10.1016/j.nahs.2021.101029 ◽

2021 ◽

Vol 41 ◽

pp. 101029

Author(s):

Jinghai Shao ◽

Taoran Tian

Keyword(s):

Optimal Stopping ◽

Regime Switching ◽

Diffusion Processes ◽

Jump Diffusion ◽

Optimal Stopping Problem ◽

Jump Diffusion Processes

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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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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

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Perpetual American Put with Spectrally Negative Jump - Uniform & Binomial Jump Diffusion Processes

SSRN Electronic Journal ◽

10.2139/ssrn.2543719 ◽

2014 ◽

Author(s):

Binh Thanh Dao ◽

Monique Jeanblanc ◽

Nadine Bellamy

Keyword(s):

Diffusion Processes ◽

Jump Diffusion ◽

Jump Diffusion Processes ◽

American Put ◽

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Estimation of Jump-Diffusion Processes via Empirical Characteristic Functions

SSRN Electronic Journal ◽

10.2139/ssrn.675202 ◽

2005 ◽

Author(s):

Michael Rockinger ◽

Maria Semenova

Keyword(s):

Diffusion Processes ◽

Jump Diffusion ◽

Characteristic Functions ◽

Jump Diffusion Processes

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