A Jump-Diffusion Process with Given Marginal Densities to Price Volatility Derivatives

2013 ◽  
Author(s):  
Bo Zhao
Keyword(s):  
Diffusion Process ◽  
Price Volatility ◽  
Jump Diffusion ◽  
Volatility Derivatives ◽  
Jump Diffusion Process

Withdrawn: A general jump‐diffusion process to price volatility derivatives

2018 ◽  
Vol 39 (1) ◽  
pp. 15-37 ◽  
Author(s):  
Cheng Yan ◽  
Bo Zhao
Keyword(s):  
Diffusion Process ◽  
Price Volatility ◽  
Jump Diffusion ◽  
Volatility Derivatives ◽  
Jump Diffusion Process

Optimal investment and reinsurance strategies under jump-diffusion process

2014 ◽  
Author(s):  
Suoping Li ◽  
Jinliang Fan ◽  
Xinxin Jiang
Keyword(s):  
Diffusion Process ◽  
Optimal Investment ◽  
Jump Diffusion ◽  
Jump Diffusion Process

A Jump-Diffusion Process for Asset Price with Non-Independent Jumps

2017 ◽  
Author(s):  
Yihren Wu ◽  
Majnu John
Keyword(s):  
Diffusion Process ◽  
Asset Price ◽  
Jump Diffusion ◽  
Jump Diffusion Process

JUMP-DIFFUSION PROCESS OF INTEREST RATES AND THE MALLIAVIN CALCULUS

2021 ◽  
Vol 34 (1) ◽  
Author(s):  
A.M. Udoye ◽  
C.P. Ogbogbo ◽  
L.S. Akinola
Keyword(s):  
Diffusion Process ◽  
Interest Rates ◽  
Malliavin Calculus ◽  
Jump Diffusion ◽  
Jump Diffusion Process

scholarly journals A switching self-exciting jump diffusion process for stock prices

2018 ◽  
Vol 15 (2) ◽  
pp. 267-306 ◽  
Author(s):  
Donatien Hainaut ◽  
Franck Moraux
Keyword(s):  
Diffusion Process ◽  
Stock Prices ◽  
Jump Diffusion ◽  
Jump Diffusion Process
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