Search Results - subject:"Diffusion Model"

Spread and control of medical rumors in a social network : a generalized diffusion model with a highly asymmetric network structure

Liao, Chen-Nan; Chen, Ying-Ju; Chen, Vincent - In: Production and operations management : the flagship … 32 (2023) 11, pp. 3683-3698

Persistent link: https://www.econbiz.de/10014430895

Option prices in the equity, index and commodity markets : the "message from markets"

Ronn, Ehud I. - In: Options - 45 years since the publication of the …, (pp. 433-449). 2023

Persistent link: https://www.econbiz.de/10014366690

Insights into peer-to-peer carsharing : modelling and scenario analysis via a Bass diffusion agent-based model

Rotaris, Lucia; Scorrano, Mariangela - In: Research in transportation economics 97 (2023), pp. 1-14

Persistent link: https://www.econbiz.de/10014295564

Pricing extreme mortality risk in the wake of the COVID-19 pandemic

Li, Han; Liu, Haibo; Tang, Qihe; Yuan, Zhongyi - In: Insurance 108 (2023), pp. 84-106

Persistent link: https://www.econbiz.de/10013534513

The Bayesian methods of jump detection : the example of gas and EUA contract prices

Kostrzewski, Maciej - In: Central European journal of economic modelling and … 11 (2019) 2, pp. 107-131

Persistent link: https://www.econbiz.de/10012294576

Statistical arbitrage with mean-reverting overnight price gaps on high-frequency data of the S&P 500

Stübinger, Johannes; Schneider, Lucas - In: Journal of risk and financial management : JRFM 12 (2019) 2/51, pp. 1-19

This paper develops a fully-fledged statistical arbitrage strategy based on a mean-reverting jump-diffusion model and …

Persistent link: https://www.econbiz.de/10012022240

Maximum likelihood estimation of stock volatility using jump-diffusion models

Chekenya, Nixon S. - In: Cogent economics & finance 7 (2019) 1, pp. 1-17

We investigate whether there are systematic jumps in stock prices using the Brownian motion approach and Poisson processes to test diffusion and jump risk, respectively, on Johannesburg Stock Exchange and whether these jumps cause asset return volatility. Using stock market data from June 2002...

Persistent link: https://www.econbiz.de/10012023360

Statistical arbitrage with mean-reverting overnight price gaps on high-frequency data of the S&P 500

Stübinger, Johannes; Schneider, Lucas - In: Journal of Risk and Financial Management 12 (2019) 2, pp. 1-19

This paper develops a fully-fledged statistical arbitrage strategy based on a mean-reverting jump-diffusion model and …

Persistent link: https://www.econbiz.de/10012611147

Maximum likelihood estimation of stock volatility using jump-diffusion models

Chekenya, Nixon S. - In: Cogent Economics & Finance 7 (2019) 1, pp. 1-17

Persistent link: https://www.econbiz.de/10012657494

A Black-Scholes user's guide to the Bachelier model

Choi, Jaehyuk; Kwak, Minsuk; Tee, Chyng Wen; Wang, Yumeng - In: The journal of futures markets 42 (2022) 5, pp. 959-980

Persistent link: https://www.econbiz.de/10013187619