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~isPartOf:"ICMA Centre Discussion Papers in Finance"
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Search: subject:"jump diffusion"
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Option pricing theory
30
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RePEc
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1
Jumps in commodity prices : new approaches for pricing plain vanilla options
Crosby, John
;
Frau, Carme
- In:
Energy economics
114
(
2022
),
pp. 1-22
Persistent link: https://www.econbiz.de/10013477538
Saved in:
2
Modelling high frequency crude oil dynamics using affine and non-affine
jump-diffusion
models
Ignatieva, Ekaterina
;
Wong, Patrick
- In:
Energy economics
108
(
2022
),
pp. 1-21
Persistent link: https://www.econbiz.de/10013203083
Saved in:
3
Electricity price modelling with stochastic volatility and jumps : an empirical investigation
Gudkov, Nikolay
;
Ignatieva, Ekaterina
- In:
Energy economics
98
(
2021
),
pp. 1-26
Persistent link: https://www.econbiz.de/10012873255
Saved in:
4
Portfolio allocation in a Levy-type
jump-diffusion
model with nonlife insurance risk
Serrano, Rafael
- In:
International journal of theoretical and applied finance
24
(
2021
)
1
,
pp. 1-34
Persistent link: https://www.econbiz.de/10012650242
Saved in:
5
An ergodic BSDE risk representation in a
jump-diffusion
framework
Guambe, Calisto
;
Mabitsela, Lesedi
;
Kufakunesu, Rodwell
- In:
International journal of theoretical and applied finance
24
(
2021
)
3
,
pp. 1-28
Persistent link: https://www.econbiz.de/10012652631
Saved in:
6
Pricing Asian options with correlators
Lavagnini, Silvia
- In:
International journal of theoretical and applied finance
24
(
2021
)
8
,
pp. 1-44
Persistent link: https://www.econbiz.de/10012887425
Saved in:
7
Modulated information flows in financial markets
Hoyle, Edward
;
Macrina, Andrea
;
Mengütürk, Levent Ali
- In:
International journal of theoretical and applied finance
23
(
2020
)
4
,
pp. 1-35
Persistent link: https://www.econbiz.de/10012271037
Saved in:
8
Numerical stability of a hybrid method for pricing options
Briani, Maya
;
Caramellino, Lucia
;
Terenzi, Giulia
; …
- In:
International journal of theoretical and applied finance
22
(
2019
)
7
,
pp. 1-46
Persistent link: https://www.econbiz.de/10012153319
Saved in:
9
Catastrophe insurance derivatives pricing using a Cox process with
jump
diffusion
CIR intensity
Jang, Jiwook
;
Park, Jong Jun
;
Jang, Hyun Jin
- In:
International journal of theoretical and applied finance
21
(
2018
)
7
,
pp. 1-20
Persistent link: https://www.econbiz.de/10011956976
Saved in:
10
Decomposition formula for
jump
diffusion
models
Merino, Raúl
;
Pospíšil, Jan
;
Sobotka, Tomáš
; …
- In:
International journal of theoretical and applied finance
21
(
2018
)
8
,
pp. 1-36
Persistent link: https://www.econbiz.de/10011970979
Saved in:
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