Search Results - subject:"Diffusion Model"

Benchmarking and fair pricing applied to two market models

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

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

Deriving Market Expectations for the Euro-Dollar Exchange Rate From Option Prices

Krichene, Noureddine - International Monetary Fund (IMF) - 2004

Option prices provide valuable information on market expectations. This paper attempts to extract market expectations, as conveyed by an implied risk-neutral probability distribution, from option prices for the dollar-euro exchange rate. Returns' volatilities are inferred from observed and...

Persistent link: https://www.econbiz.de/10005605330

An Examination of new product diffusion models

van de Capelle, Jean-Pierre - 2004

on parameter extraction techniques, which is continued in subsequent sections.The application of the Bass diffusion model … for the Xerox DocuTech family of products is discussed.The application of the Bass diffusion model in the digital color …

Persistent link: https://www.econbiz.de/10009459223

Jump spillovers in energy futures markets : implications for diversification benefits

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

Persistent link: https://www.econbiz.de/10009688077

Warrant pricing under GARCH diffusion model

Wu, Xin-yu; Ma, Chao-qun; Wang, Shouyang - In: Economic modelling 29 (2012) 6, pp. 2237-2244

Persistent link: https://www.econbiz.de/10009673781

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

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

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

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

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