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  • Search: subject:"Diffusion with jumps"
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Diffusion with jumps 2 American options 1 Coupled continuous-time random walk 1 Electricity market 1 Option pricing 1 derivative pricing 1 optimal stopping 1
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Article 2
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Broszkiewicz-Suwaj, Ewa 1 Jurlewicz, Agnieszka 1 Mordecki, Ernesto 1
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Finance and Stochastics 1 Physica A: Statistical Mechanics and its Applications 1
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RePEc 2
Showing 1 - 2 of 2
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Pricing on electricity market based on coupled-continuous-time-random-walk concept
Broszkiewicz-Suwaj, Ewa; Jurlewicz, Agnieszka - In: Physica A: Statistical Mechanics and its Applications 387 (2008) 22, pp. 5503-5510
In this paper we propose a model of electricity market based on the forward rate dynamics described by a diffusion with … jumps as a generalization of the classical diffusion approach. We consider jump components resulting from a coupled …
Persistent link: https://www.econbiz.de/10010872928
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Optimal stopping for a diffusion with jumps
Mordecki, Ernesto - In: Finance and Stochastics 3 (1999) 2, pp. 227-236
with jumps. Within the possible applications, the results can be interpreted as pricing perpetual American Options under …In this paper we give the closed form solution of some optimal stopping problems for processes derived from a diffusion …
Persistent link: https://www.econbiz.de/10005613389
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