Optimal Consumption and Investment Strategies in a Jump-Diffusion Model

2018 14th International Conference on Computational Intelligence and Security (CIS) ◽

10.1109/cis2018.2018.00110 ◽

2018 ◽

Author(s):

Yunfeng Yang ◽

Huihui Bai ◽

Yinchun Zheng

Keyword(s):

Diffusion Model ◽

Jump Diffusion ◽

Optimal Consumption ◽

Investment Strategies ◽

Jump Diffusion Model ◽

Optimal Consumption And Investment

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Precommitment and equilibrium investment strategies for defined contribution pension plans under a jump–diffusion model

Insurance Mathematics and Economics ◽

10.1016/j.insmatheco.2016.01.005 ◽

2016 ◽

Vol 67 ◽

pp. 158-172 ◽

Author(s):

Jingyun Sun ◽

Zhongfei Li ◽

Yan Zeng

Keyword(s):

Diffusion Model ◽

Jump Diffusion ◽

Pension Plans ◽

Investment Strategies ◽

Defined Contribution ◽

Jump Diffusion Model

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Optimal consumption and investment strategies with liquidity risk and lifetime uncertainty for Markov regime-switching jump diffusion models

European Journal of Operational Research ◽

10.1016/j.ejor.2019.07.066 ◽

2020 ◽

Vol 280 (3) ◽

pp. 1130-1143 ◽

Author(s):

Zhuo Jin ◽

Guo Liu ◽

Hailiang Yang

Keyword(s):

Regime Switching ◽

Liquidity Risk ◽

Jump Diffusion ◽

Diffusion Models ◽

Optimal Consumption ◽

Investment Strategies ◽

Markov Regime Switching ◽

Lifetime Uncertainty ◽

Optimal Consumption And Investment

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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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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

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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

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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

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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 ◽

Author(s):

Maciej Kostrzewski

Keyword(s):

Bayesian Inference ◽

Diffusion Model ◽

Jump Diffusion ◽

Jump Diffusion Model

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