Search Results - subject:"Double exponential jump-diffusion process"

Narrow search

Optimal venture capital entry-exit strategy with jump–diffusion risk

Zuo, Si; Wang, Haijun - 2025

Persistent link: https://www.econbiz.de/10015372572

On the probability of default in a market with price clustering and jump risk

Song, Shiyu; Wang, Yongjin; Xu, Guangli - In: Mathematics and financial economics 14 (2020) 2, pp. 225-247

Persistent link: https://www.econbiz.de/10012240142

Real options under a double exponential jump-diffusion model with regime switching and partial information

Luo, Pengfei; Xiong, Jie; Yang, Jinqiang; Yang, Zhaojun - In: Quantitative finance 19 (2019) 6, pp. 1061-1073

Persistent link: https://www.econbiz.de/10012194743

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

Investment and financing for SMEs with a partial guarantee and jump risk

Luo, Pengfei; Wang, Huamao; Yang, Zhaojun - In: European journal of operational research : EJOR 249 (2016) 3, pp. 1161-1168

Persistent link: https://www.econbiz.de/10011439328

Pricing Mortgage Insurance with Asymmetric Jump Risk and Default Risk: Evidence in the U.S. Housing Market

Chang, Chia-Chien; Huang, Wei-Yi; Shyu, So-De - In: The Journal of Real Estate Finance and Economics 45 (2012) 4, pp. 846-868

This study provides the valuation of mortgage insurance (MI) considering upward and downward jumps in housing prices, which display separate distributions and probabilities of occurrence, and the mortgage insurer’s default risk. The empirical results indicate that the asymmetric double...

Persistent link: https://www.econbiz.de/10010867016