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Appraising model complexity in option pricing

Cummins, Mark; Esposito, Francesco - 2025

Persistent link: https://www.econbiz.de/10015376680

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

Zuo, Si; Wang, Haijun - 2025

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

Give me a break : what does the equity premium compensate for?

Perras, Patrizia Julia; Wagner, Niklas F. - In: Journal of international financial markets, … 99 (2025), pp. 1-15

Persistent link: https://www.econbiz.de/10015405681

Discontinuous movements and asymmetries in cryptocurrency markets

Gillas, Konstantinos Gkillas; Katsiampa, Paraskevi; … - In: The European journal of finance 30 (2024) 16, pp. 1907-1931

Persistent link: https://www.econbiz.de/10015273086

Application of Fractal Processes and Fractional Derivatives in Finance

Chan, Leung Lung (contributor) - 2024

In recent years, there has been a fast growth in the application of long-memory processes to underlying assets including stock, volatility index, exchange rate, etc. The fractional Brownian motion is the most popular of the long-memory processes and was introduced by Kolmogorov in 1940 and later...

Persistent link: https://www.econbiz.de/10015324975

Duality in optimal consumption-investment problems with alternative data

Chen, Kexin; Wong, Hoi Ying - In: Finance and stochastics 28 (2024) 3, pp. 709-758

Persistent link: https://www.econbiz.de/10015130378

What drives jumps in the secured Overnight Financing Rate? : evidence from the arbitrage-free Nelson-Siegel model with jump diffusion

Fang, Dong-Jie; Yeh, Zong-Wei; He, Jie-Cao; Lin, Shih-kuei - In: Pacific-Basin finance journal 86 (2024), pp. 1-21

Persistent link: https://www.econbiz.de/10015095106

Implied parameter estimation for jump diffusion option pricing models : pricing accuracy and the role of loss and evaluation functions

Hilliard, Jimmy E.; Hilliard, Jitka; Ngo, Julie T. D. - In: Journal of commodity markets : JCM 35 (2024), pp. 1-16

Persistent link: https://www.econbiz.de/10015077292

An efficient and provable sequential quadratic programming method for American and swing option pricing

Shen, Jinye; Huang, Weizhang; Ma, Jingtang - In: European journal of operational research : EJOR 316 (2024) 1, pp. 19-35

Persistent link: https://www.econbiz.de/10014566281

Optimal investment-consumption-insurance strategy with inflation risk and stochastic income in an Itô-Lévy setting

Moagi, Gaoganwe S.; Doctor, Obonye - In: International journal of financial engineering 11 (2024) 2, pp. 1-19

Persistent link: https://www.econbiz.de/10014574920

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