Search Results - subject:"Jump–diffusion model"

Application of the Fast Gauss Transform to Option Pricing

Broadie, Mark; Yamamoto, Yusaku - In: Management Science 49 (2003) 8, pp. 1071-1088

for the Black-Scholes model and Merton's lognormal jump-diffusion model. We also propose extensions of the fast Gauss …

Persistent link: https://www.econbiz.de/10009209096

Jump diffusion model with application to the Japanese stock market

Maekawa, Koichi; Lee, Sangyeol; Morimoto, Takayuki; … - In: Mathematics and Computers in Simulation (MATCOM) 78 (2008) 2, pp. 223-236

In this paper we demonstrate that a jump diffusion model is better fitted to Japanese stock data in the Nikkei 225 than … data has jumps. For modeling the data, we choose Kou’s [S.G. Kou, A jump diffusion model for option pricing, Manage. Sci …

Persistent link: https://www.econbiz.de/10010748745

Modelling energy markets with extreme spikes

Schmidt, Thorsten - In: Mathematical control theory and finance, (pp. 359-375). 2008

Persistent link: https://www.econbiz.de/10003755895

Information Asymmetry in the French Market around Crises

Bellalah, Mondher; Aboura, Sofiane - Université Paris-Dauphine (Paris IX) - 2007

to these tragic events? We implement an information cost model and a jump diffusion model to capture the magnitude of …

Persistent link: https://www.econbiz.de/10011073931

The role of stochastic volatility and return jumps: reproducing volatility and higher moments in the KOSPI 200 returns dynamics

Kim, In; Baek, In-Seok; Noh, Jaesun; Kim, Sol - In: Review of Quantitative Finance and Accounting 29 (2007) 1, pp. 69-110

Persistent link: https://www.econbiz.de/10005701232

Towards a general theory of bond markets (*)

Masi, Giovanni Di; Björk, Tomas; Runggaldier, Wolfgang; … - In: Finance and Stochastics 1 (1997) 2, pp. 141-174

is discussed and HJM-type conditions are derived for a jump-diffusion model. The question of market completeness is …

Persistent link: https://www.econbiz.de/10005613425

Pricing American currency options in an exponential Levy model

Chesney, Marc; Jeanblanc, M. - In: Applied Mathematical Finance 11 (2004) 3, pp. 207-225

In this article the problem of the American option valuation in a Levy process setting is analysed. The perpetual case is first considered. Without possible discontinuities (i.e. with negative jumps in the call case), known results concerning the currency option value as well as the exercise...

Persistent link: https://www.econbiz.de/10005279053

Modeling highly volatile and seasonal markets: evidence from the Nord Pool electricity market

Weron, Rafal; Simonsen, Ingve; Wilman, Piotr - EconWPA - 2003

unobservable in other financial or commodity markets price dynamics we propose a mean reverting jump diffusion model. We fit the …

Persistent link: https://www.econbiz.de/10005407920

On Lévy processes, Malliavin calculus and market models with jumps

Vives, Josep; León, Jorge A.; Utzet, Frederic; Solé, … - In: Finance and Stochastics 6 (2002) 2, pp. 197-225

Malliavin derivatives are deduced. Applications for option hedging in a jump-diffusion model are given. …

Persistent link: https://www.econbiz.de/10005390667

On rational jump diffusion models : an approach using potentials

Burnetas, Apostolos N. - In: Review of derivatives research 1 (1997) 4, pp. 325-349

Persistent link: https://www.econbiz.de/10001238756