Search Results - subject:"Diffusion process"

On pricing double-barrier options with Markov regime switching

Zhang, Xiaoyuan; Zhang, Tianqi - In: Finance research letters 51 (2023), pp. 1-8

Persistent link: https://www.econbiz.de/10014288926

Autonomy of profit rate distribution and its dynamics from firm size measures: A statistical equilibrium approach

Oh, Ilfan - 2019

This paper presents an empirical analysis of the distributional and dynamic properties of firm profit rates, measured by returns on assets, using panel data on 1095 long-lived Japanese (non-financial) listed firms over the 1971-2012 period. In particular, this paper tests the validity of...

Persistent link: https://www.econbiz.de/10011985166

Autonomy of profit rate distribution and its dynamics from firm size measures : a statistical equilibrium approach

Oh, Ilfan - 2019

Persistent link: https://www.econbiz.de/10011982760

Network analysis of local currency Asian government bond markets : assessments of the ABFI and the ABMI

Miyakoshi, Tatsuyoshi; Shimada, Junji - In: The North American journal of economics and finance : a … 62 (2022), pp. 1-27

Persistent link: https://www.econbiz.de/10013534123

Smooth ambiguity preferences and asset prices with a jump-diffusion process

Suzuki, Masataka - In: Quantitative finance 22 (2022) 5, pp. 871-887

Persistent link: https://www.econbiz.de/10013367866

How much is financial advice worth? : the transparency-revenue tension in social trading

Yang, Mingwen; Zheng, Zhiqiang; Mookerjee, Vijay S. - In: Management science : journal of the Institute for … 68 (2022) 7, pp. 5252-5268

Persistent link: https://www.econbiz.de/10013369301

Dynamic optimal hedge ratio design when price and production are stochastic with jump

Clément, Nyassoke Titi Gaston; Jules, Sadefo Kamdem; … - In: Annals of finance 18 (2022) 3, pp. 419-428

Persistent link: https://www.econbiz.de/10013440645

Optimal time-consistent reinsurance and investment strategies for a jump-diffusion financial market without cash

Zhang, Caibin; Liang, Zhibin - In: The North American journal of economics and finance : a … 59 (2022), pp. 1-17

Persistent link: https://www.econbiz.de/10013413423

A three-factor hazard rate model for single-name credit default swap pricing

Zhong, Yangfan; Mi, Yanhui - In: The journal of credit risk : published quarterly by … 18 (2022) 2, pp. 27-63

Persistent link: https://www.econbiz.de/10014546386

Barrier option pricing under a Markov Regime switching diffusion model

Zhang, Xiaoyuan; Zhang, Tianqi - In: The quarterly review of economics and finance : journal … 86 (2022), pp. 273-280

Persistent link: https://www.econbiz.de/10014249123

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