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~isPartOf:"The journal of computational finance"
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Search: subject:"jump diffusion"
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Option pricing theory
6
Optionspreistheorie
6
Stochastic process
5
Stochastischer Prozess
5
Option trading
3
Optionsgeschäft
3
Derivat
2
Derivative
2
Estimation theory
2
Jump diffusion
2
Schätztheorie
2
Volatility
2
Volatilität
2
jump diffusion
2
Abnormal earnings
1
American-type options
1
Anleihe
1
Arbitrage-free Condition
1
Barone-Adesi and Whaley approximation
1
Bipower variation test
1
Bond
1
Compensation system
1
Copula functions
1
Crisp possibilistic mean value
1
Earnings-based bonus
1
Electric power industry
1
Electricity
1
Electricity price
1
Elektrizitätswirtschaft
1
Energiekonsum
1
Energiepolitik
1
Energy consumption
1
Energy derivatives
1
Energy policy
1
Energy transition
1
Erdgas
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Executive compensation
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Forecasting model
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Bayraktar, Erhan
1
Bhuruth, Muddun
1
Cartea, Alvaro
1
Chen, Li
1
Coonjobeharry, Radha Krishn
1
Correia Fernandes, Mário
1
Dias, José Carlos
1
Figueroa, Marcelo_Gustavo
1
Hoogland, Jiri
1
Itkin, Andrey
1
Kim, Hwa-sung
1
Li, Hongyi
1
Lim, Tiong Wee
1
Liu, Guifang
1
Mathys, Ludovic
1
Neumann, Dimitri
1
Nunes, Joaõ Pedro Vidal
1
O'Sullivan, Conall
1
O'Sullivan, Stephen
1
Poor, H. Vincent
1
Tangman, Désiré Yannick
1
Vellekoop, Michel
1
Xiao, Wei-Lin
1
Xing, Haipeng
1
Xu, Weijun
1
Yu, Yang
1
Zhang, Li-Hua
1
Zhang, Wei-guo
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EconWPA
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Economic modelling
Finance
The journal of computational finance
International journal of theoretical and applied finance
26
International Journal of Theoretical and Applied Finance (IJTAF)
21
Insurance / Mathematics & economics
18
Quantitative finance
16
Risk-Sensitive Investment Management
15
Journal of banking & finance
14
Finance and Stochastics
12
European journal of operational research : EJOR
11
Finance research letters
11
Journal of mathematical finance
11
Energy economics
10
Journal of Banking & Finance
10
MPRA Paper
10
Applied Mathematical Finance
9
International journal of financial engineering
9
Journal of economic dynamics & control
9
Computational economics
8
Research Paper Series / Finance Discipline Group, Business School
8
SFB 649 Discussion Papers
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Applied mathematical finance
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Insurance: Mathematics and Economics
7
Quantitative Finance
7
Statistics & Probability Letters
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Review of Derivatives Research
6
Risks : open access journal
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SFB 649 Discussion Paper
6
The European journal of finance
6
Computational Statistics
5
Energy Economics
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Mathematical Methods of Operations Research
5
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Operations research letters
5
Review of derivatives research
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Scandinavian actuarial journal
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Stochastic Processes and their Applications
5
Annals of finance
4
International review of economics & finance : IREF
4
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ECONIS (ZBW)
9
RePEc
3
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date (oldest first)
1
Modeling energy prices under energy transition : a novel stochastic-copula approach
Correia Fernandes, Mário
;
Dias, José Carlos
;
Nunes, …
- In:
Economic modelling
105
(
2021
),
pp. 1-12
Persistent link: https://www.econbiz.de/10013367312
Saved in:
2
On extensions of the Barone-Adesi and Whaley method to price American-type options
Mathys, Ludovic
- In:
The journal of computational finance
24
(
2020
)
2
,
pp. 33-76
Persistent link: https://www.econbiz.de/10012543615
Saved in:
3
European option pricing under geometric Lévy processes with proportional transaction costs
Xing, Haipeng
;
Yu, Yang
;
Lim, Tiong Wee
- In:
The journal of computational finance
21
(
2017/2018
)
2
,
pp. 101-127
Persistent link: https://www.econbiz.de/10011848317
Saved in:
4
Efficient solution of backward
jump-diffusion
partial integro-differential equations with splitting and matrix exponentials
Itkin, Andrey
- In:
The journal of computational finance
19
(
2016
)
3
,
pp. 29-70
Persistent link: https://www.econbiz.de/10011563465
Saved in:
5
A novel
jump
diffusion
model based on SGT distribution and its applications
Xu, Weijun
;
Liu, Guifang
;
Li, Hongyi
- In:
Economic modelling
59
(
2016
),
pp. 74-92
Persistent link: https://www.econbiz.de/10011647763
Saved in:
6
Accelerated trinomial trees applied to American basket options and American options under the Bates model
O'Sullivan, Conall
;
O'Sullivan, Stephen
- In:
The journal of computational finance
19
(
2016
)
4
,
pp. 29-72
Persistent link: https://www.econbiz.de/10011603176
Saved in:
7
A novel partial integrodifferential equation-based framework for pricing interest rate derivatives under jump-extended short-rate models
Coonjobeharry, Radha Krishn
;
Tangman, Désiré Yannick
; …
- In:
The journal of computational finance
18
(
2014/2015
)
4
,
pp. 129-161
Persistent link: https://www.econbiz.de/10011441273
Saved in:
8
Executive bonus compensation when abnormal earnings and the state of the economy are correlated
Kim, Hwa-sung
- In:
Economic modelling
32
(
2013
),
pp. 58-65
Persistent link: https://www.econbiz.de/10009760740
Saved in:
9
The double exponential
jump
diffusion
model for pricing European options under fuzzy environments
Zhang, Li-Hua
;
Zhang, Wei-guo
;
Xiao, Wei-Lin
- In:
Economic modelling
29
(
2012
)
3
,
pp. 780-786
Persistent link: https://www.econbiz.de/10009545516
Saved in:
10
Pricing in Electricity Markets: a Mean Reverting
Jump
Diffusion
Model with Seasonality
Cartea, Alvaro
;
Figueroa, Marcelo_Gustavo
-
EconWPA
-
2005
In this paper we present a mean-reverting
jump
diffusion
model for the electricity spot price. We obtain a closed …
Persistent link: https://www.econbiz.de/10005413200
Saved in:
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