Search Results - subject:"Diffusion Model"

Pricing CAC 40 Index Options under Asymmetry of Information

Aboura, Sofiane - Université Paris-Dauphine (Paris IX) - 2005

This article analyses, for the first time, the financial impact on the French market of September 11th, 2001. Was there any information asymmetry around this date? How deep was the reaction of the French investors? This study measures the magnitude of the shock in the stock price process.

Persistent link: https://www.econbiz.de/10010905353

Explaining the level of credit spreads: option-implied jump risk premia in a firm value model

Cremers, Martijn; Driessen, Joost; Maenhout, Pascal; … - Bank for International Settlements (BIS) - 2005

Prices of equity index put options contain information on the price of systematic downward jump risk. We use a structural jump-diffusion firm value model to assess the level of credit spreads that is generated by option-implied jump risk premia. In our compound option pricing model, an equity...

Persistent link: https://www.econbiz.de/10005063349

Pricing CAC 40 Index Options under Asymmetry of Information.

Aboura, Sofiane - Université Paris-Dauphine - 2005

Persistent link: https://www.econbiz.de/10008572194

Benchmarking and fair pricing applied to two market models

Hulley, Hardy; Miller, Shane; Platen, Eckhard - 2005

Persistent link: https://www.econbiz.de/10002765066

Estimating the diffusion models of crisis information in micro blog

Wei, Jiuchang; Bu, Bing; Liang, Liang - In: Journal of Informetrics 6 (2012) 4, pp. 600-610

The study tries to construct the diffusion models of crisis information in micro blog. We propose three information release patterns in micro blog according to the duration of crisis information released, namely concentrated release, continuous release, and pulse release. Based on Logistic...

Persistent link: https://www.econbiz.de/10010795107

A population dependent diffusion model with a stochastic extension

Michalakelis, C.; Sphicopoulos, T. - In: International Journal of Forecasting 28 (2012) 3, pp. 587-606

Diffusion modeling is rather broad in nature, and is important in the areas of estimation and forecasting. Conventional models do not incorporate parameters that explicitly take into account the size of the population, or, equivalently, the size of the potential market. As a consequence, the...

Persistent link: https://www.econbiz.de/10011051400

A jump-diffusion approach to modelling vulnerable option pricing

Xu, Weidong; Xu, Weijun; Li, Hongyi; Xiao, Weilin - In: Finance Research Letters 9 (2012) 1, pp. 48-56

Following the framework of Klein [1996. Journal of Banking and Finance 20, 1211–1229], this paper presents an improved method of pricing vulnerable options under jump diffusion assumptions about the underlying stock prices and firm values which are appropriate in many business situations. In...

Persistent link: https://www.econbiz.de/10010578024

Forecasting 3G mobile subscription in China: A study based on stochastic frontier analysis and a Bass diffusion model

Lim, Jinyang; Nam, Changi; Kim, Seongcheol; Rhee, Hongjai; … - In: Telecommunications Policy 36 (2012) 10, pp. 858-871

This paper forecasts 3G mobile subscription in mainland China while incorporating regional disparity. First, using stochastic frontier analysis, this paper tries to measure the relative market potential of 2G mobile service in 31 Chinese provinces. Second, this paper estimates diffusion...

Persistent link: https://www.econbiz.de/10010943094

Warrant pricing under GARCH diffusion model

Wu, Xin-Yu; Ma, Chao-Qun; Wang, Shou-Yang - In: Economic Modelling 29 (2012) 6, pp. 2237-2244

The GARCH diffusion model has attracted a great deal of attention in recent years, as it is able to describe financial … underlying asset follows the GARCH diffusion model. An analytical approximate solution for European option prices is derived by … enables us to investigate the volatility smile implied by the GARCH diffusion model. Then a method is developed to provide the …

Persistent link: https://www.econbiz.de/10010588253

Jump spillovers in energy futures markets: Implications for diversification benefits

Liu, Qingfu; Tu, Anthony H. - In: Energy Economics 34 (2012) 5, pp. 1447-1464

approach to estimate a jump-diffusion model for each. We examine the simultaneous jump intensities of pairs of energy futures …

Persistent link: https://www.econbiz.de/10010593872