Search Results - subject:"Jump–diffusion model"

Evaluation and default time for companies with uncertain cash flows

Hainaut, Donatien - In: Insurance / Mathematics & economics 61 (2015), pp. 276-285

Persistent link: https://www.econbiz.de/10010515871

Computation of Greeks using binomial trees in a jump-diffusion model

Suda, Shintaro; Muroi, Yoshifumi - In: Journal of economic dynamics & control 51 (2015), pp. 93-110

Persistent link: https://www.econbiz.de/10011474273

A novel partial integrodifferential equation-based framework for pricing interest rate derivatives under jump-extended short-rate models

Coonjobeharry, Radha Krishn; Tangman, Désiré Yannick; … - In: The journal of computational finance 18 (2014/2015) 4, pp. 129-161

Persistent link: https://www.econbiz.de/10011441273

On two transform methods for the valuation of contingent claims

Nwozo, Chuma Raphael; Fadugba, Sunday Emmanuel - In: Journal of mathematical finance 5 (2015) 2, pp. 88-112

Persistent link: https://www.econbiz.de/10011398726

Pricing and disentanglement of American puts in the hyper-exponential jump-diffusion model

Leippold, Markus; Vasiljević, Nikola - 2015

We analyze American put options in a hyper-exponential jump-diffusion model. Our contribution is threefold. Firstly, by …

Persistent link: https://www.econbiz.de/10011293508

LOWER BOUND APPROXIMATION TO BASKET OPTION VALUES FOR LOCAL VOLATILITY JUMP-DIFFUSION MODELS

XU, GUOPING; ZHENG, HARRY - In: International Journal of Theoretical and Applied … 17 (2014) 01, pp. 1450007-1

In this paper, we derive an easily computed approximation to European basket call prices for a local volatility jump-diffusion … model. We apply the asymptotic expansion method to find the approximate value of the lower bound of European basket call …

Persistent link: https://www.econbiz.de/10010883224

Day-of-the-week and jump effects in international investment sentiment indices

Lee, Yen-Hsien - In: Investment management and financial innovations 11 (2014) 2, pp. 60-68

Persistent link: https://www.econbiz.de/10010392833

Moment-implied densities : properties and applications

Ghysels, Eric; Wang, Fangfang - In: Journal of business & economic statistics : JBES ; a … 32 (2014) 1, pp. 88-111

Persistent link: https://www.econbiz.de/10010380476

Lower bound approximation to basket option values for local volatility jump-diffusion models

Xu, Guoping; Zheng, Harry - In: International journal of theoretical and applied finance 17 (2014) 1, pp. 1-15

Persistent link: https://www.econbiz.de/10010363942

Perpetual barrier options in jump-diffusion models

Gapeev, Pavel V. - 2006

We present a closed form solution to the perpetual American double barrier call option problem in a model driven by Brownian motion and a compound Poisson process with exponential jumps. The method of proof is based on reducing the inital irregular optimal stopping problem to an...

Persistent link: https://www.econbiz.de/10010263649