Search Results - subject:"Diffusion Model"

Parametric estimation of risk neutral density functions

Grith, Maria; Krätschmer, Volker - Sonderforschungsbereich 649: Ökonomisches Risiko, … - 2010

This chapter deals with the estimation of risk neutral distributions for pricing index options resulting from the hypothesis of the risk neutral valuation principle. After justifying this hypothesis, we shall focus on parametric estimation methods for the risk neutral density functions...

Persistent link: https://www.econbiz.de/10008492664

Parametric estimation of risk neutral density functions

Grith, Maria; Krätschmer, Volker - 2010

Persistent link: https://www.econbiz.de/10010281587

The Drift Diffusion Model can account for the accuracy and reaction time of value-based choices under high and low time pressure

Milosavljevic, Milica; Malmaud, Jonathan; Huth, Alexander; … - In: Judgment and Decision Making 5 (2010) 6, pp. 437-449

carries out the computations associated with the value comparisons in a manner consistent with the Drift Diffusion Model (DDM …

Persistent link: https://www.econbiz.de/10008684993

Robust equilibrium reinsurance-investment strategy for a mean-variance insurer in a model with jumps

Zeng, Yan; Li, Danping; Gu, Ailing - In: Insurance 66 (2016), pp. 138-152

Persistent link: https://www.econbiz.de/10011442729

The D-Day, V-Day, and bleak days of a disruptive technology : a new model for ex-ante evaluation of the timing of technology disruption

Chen, Chialin; Zhang, Jun; Guo, Ruey-Shan - In: European journal of operational research : EJOR 251 (2016) 2, pp. 562-574

Persistent link: https://www.econbiz.de/10011444372

A functional Itô's calculus approach to convex risk measures with jump diffusion

Siu, Tak Kuen - In: European journal of operational research : EJOR 250 (2016) 3, pp. 874-883

Persistent link: https://www.econbiz.de/10011445346

Bayesian SVLEDEJ model for detecting jumps in logarithmic growth rates of one month forward gas contract prices

Kostrzewski, Maciej - In: Central European journal of economic modelling and … 8 (2016) 3, pp. 161-179

Persistent link: https://www.econbiz.de/10011634897

Optimal duration of promotion for durable technology product in a segmented market

Jha, P. C.; Aggarwal, Sugandha; Gupta, Anshu - In: Journal of promotion management : JPM 22 (2016) 5, pp. 751-771

Persistent link: https://www.econbiz.de/10011632058

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

Supply chain finance : optimal introduction and adoption decisions

Wuttke, David A.; Blome, Constantin; Heese, H. Sebastian; … - In: International journal of production economics 178 (2016), pp. 72-81

Persistent link: https://www.econbiz.de/10011526941