Search Results - subject:"Diffusion Models"

A Range-Based Test for the Parametric Form of the Volatility in Diffusion Models

Podolskij, Mark; Ziggel, Daniel - School of Economics and Management, University of Aarhus - 2007

We propose a new test for the parametric form of the volatility function in continuous time diffusion models of the …

Persistent link: https://www.econbiz.de/10005440034

The ecological agriculture diffusion in Europe

Gómez García, Gómez García , Juan; Faura Martínez, … - In: INVESTIGACIONES REGIONALES - Journal of REGIONAL RESEARCH (2007) 11, pp. 71-92

. From the corresponding diffusion models for data concerning the spread of organic farming in the fifteen countries …

Persistent link: https://www.econbiz.de/10010992197

Institutional Structures as Benard Taylor Processeses

Purica, Ionut - In: Journal for Economic Forecasting 4 (2007) 2, pp. 69-75

Considering the epistemic and ontological sense of principles and functions and the way they contribute to the creation and evolution of institutional structures a model was developed in which the reaction-diffusion of mimes (Dawkins) in a human niche (Popper) is described as a Brusselator that...

Persistent link: https://www.econbiz.de/10005612217

Probabilistic Forecasting Using Stochastic Diffusion Models, With Applications to Cohort Processes of Marriage and Fertility

Myrskylä, Mikko; Goldstein, Joshua - In: Demography 50 (2013) 1, pp. 237-260

In this article, we show how stochastic diffusion models can be used to forecast demographic cohort processes using the …

Persistent link: https://www.econbiz.de/10010993154

A forecasting system for movie attendance

Marshall, Pablo; Dockendorff, Monika; Ibáñez, Soledad - In: Journal of Business Research 66 (2013) 10, pp. 1800-1806

The main objective of this paper is to develop a system that uses historical data to forecast new movie attendance. In contrast to most models in the literature that consider aggregated prediction or the demand for a cross-section of movies, this paper analyzes the dynamic behavior of attendance...

Persistent link: https://www.econbiz.de/10011049998

Diagnosing affine models of options pricing: Evidence from VIX

Li, Gang; Zhang, Chu - In: Journal of Financial Economics 107 (2013) 1, pp. 199-219

Affine jump-diffusion models have been the mainstream in options pricing because of their analytical tractability …. Popular affine jump-diffusion models, however, are still unsatisfactory in describing the options data and the problem is …) implied from options prices, we provide fresh evidence regarding the misspecification of affine jump-diffusion models, as …

Persistent link: https://www.econbiz.de/10011039265

Optimal dividend policies with transaction costs for a class of jump-diffusion processes

Hunting, Martin; Paulsen, Jostein - In: Finance and Stochastics 17 (2013) 1, pp. 73-106

This paper addresses the problem of finding an optimal dividend policy for a class of jump-diffusion processes. The jump component is a compound Poisson process with negative jumps, and the drift and diffusion components are assumed to satisfy some regularity and growth restrictions. Each...

Persistent link: https://www.econbiz.de/10010997035

The impact of cultural differences on technology adoption

Lee, Sang-Gun; Trimi, Silvana; Kim, Changsoo - In: Journal of World Business 48 (2013) 1, pp. 20-29

This study examines the impact of Type I and Type II cultural differences on mobile phone adoption patterns. We use Hofstede's cultural dimensions to examine cultural differences of two countries (Type I: the U.S.; Type II: S. Korea) and employ the Bass diffusion model to delineate innovation...

Persistent link: https://www.econbiz.de/10010595218

Minimal variance hedging of natural gas derivatives in exponential Lévy models: Theory and empirical performance

Ewald, Christian-Oliver; Nawar, Roy; Siu, Tak Kuen - In: Energy Economics 36 (2013) C, pp. 97-107

We consider the problem of hedging European options written on natural gas futures, in a market where prices of traded assets exhibit jumps, by trading in the underlying asset. We provide a general expression for the hedging strategy which minimizes the variance of the terminal hedging error, in...

Persistent link: https://www.econbiz.de/10010616853

Pricing discrete path-dependent options under a double exponential jump–diffusion model

Fuh, Cheng-Der; Luo, Sheng-Feng; Yen, Ju-Fang - In: Journal of Banking & Finance 37 (2013) 8, pp. 2702-2713

We provide methodologies to price discretely monitored exotic options when the underlying evolves according to a double exponential jump diffusion process. We show that discrete barrier or lookback options can be approximately priced by their continuous counterparts’ pricing formulae with a...

Persistent link: https://www.econbiz.de/10010679259