Search Results - subject:"Diffusion process"

Dispersion in macroeconomic volatility between the core and periphery of the international trade network

Chakrabarti, Anindya S. - In: Journal of economic dynamics & control 88 (2018), pp. 31-50

Persistent link: https://www.econbiz.de/10011973917

Pricing and hedging barrier options under a Markov-modulated double exponential jump diffusion-CIR model

Chen, Son-nan; Hsu, Pao-Peng - In: International review of economics & finance : IREF 56 (2018), pp. 330-346

Persistent link: https://www.econbiz.de/10012033703

Compound option pricing under a double exponential Jump-diffusion model

Liu, Yu-hong; Jiang, I-Ming; Hsu, Wei-tze - In: The North American journal of economics and finance : a … 43 (2018), pp. 30-53

Persistent link: https://www.econbiz.de/10012036254

Conic martingales from stochastic integrals

Jeanblanc, Monique; Vrins, Frédéric - In: Mathematical finance : an international journal of … 28 (2018) 2, pp. 516-535

Persistent link: https://www.econbiz.de/10012166968

An empirical study of credit spreads in an emerging market: The case of Korea

Park, Keehwan; Ahn, Chang Mo; Kim, Dohyeon; Kim, Saekwon - In: Pacific-Basin Finance Journal 21 (2013) 1, pp. 952-966

market. For that purpose, we assume two alternative firm value processes: diffusion process for the Merton (1974) model and … jump-diffusion process for our extended model in a general equilibrium setting. Our empirical results show that the …

Persistent link: https://www.econbiz.de/10011043162

АЛГОРИТМЫ ЧИСЛЕННОГО РЕШЕНИЯ СТОХАСТИЧЕСКИХ ДИФФЕРЕНЦИАЛЬНЫХ СИСТЕМ С ПЕРЕКЛЮЧАЕМОЙ ДИФФУЗИЕЙ

ВАЛЕНТИНОВНА, ЧЕРНЫХ НАДЕЖДА; … - In: Управление большими … (2012) 3, pp. 106-143

Рассматриваются математические модели сложных систем в виде стохастических дифференциальных уравнений с марков-скими переключениями диффузионной...

Persistent link: https://www.econbiz.de/10011227096

Bayesian Pricing of the Optimal-Replication Strategy for European Option in the JD(M)J Model

Kostrzewski, Maciej - In: Dynamic Econometric Models 12 (2012), pp. 53-72

In incomplete markets replication strategies may not exist and pricing of derivatives is not an easy task. This paper presents an application of Bertsimas, Kogan and Lo’s algorithm of determining an optimal-replication strategy. In the Merton model the likelihood function is a product of a...

Persistent link: https://www.econbiz.de/10010875595

Impacts of Permanent and Transitory Shocks on Optimal Length of Moving Average to Predict Wheat Basis

Lee, Yoonsuk; Brorsen, B. Wade - Agricultural and Applied Economics Association - AAEA - 2012

A new stochastic process is introduced where permanent changes occur following a Poisson jump process and temporary changes occur following a normal distribution. The model is estimated using hard wheat basis data and is used to explain why the optimal length of moving average to forecast basis...

Persistent link: https://www.econbiz.de/10010916393

The evaluation of derivatives of double barrier options of the Bessel processes by methods of spectral analysis

Burtnyak, Ivan; Malytska, Anna - In: Investment management and financial innovations 14 (2017) 3, pp. 126-134

Persistent link: https://www.econbiz.de/10011867234

Equilibrium equity price with optimal dividend policy

Yamazaki, Akira - In: International journal of theoretical and applied finance 20 (2017) 2, pp. 1-28

Persistent link: https://www.econbiz.de/10011686852