Search Results - subject:"Jump Diffusion"

A directional movement trading strategy using jump-diffusion price dynamics

Mandal, Satrajit; Bhattacharya, Sujoy - In: International Journal of Financial Markets and … 8 (2022) 3, pp. 223-243

Persistent link: https://www.econbiz.de/10013255830

Modelling high frequency crude oil dynamics using affine and non-affine jump-diffusion models

Ignatieva, Ekaterina; Wong, Patrick - In: Energy economics 108 (2022), pp. 1-21

Persistent link: https://www.econbiz.de/10013203083

Investment timing and capacity choice in duopolistic competition under a jump-diffusion model

Wu, Xiaoqin; Hu, Zhijun - In: Mathematics and financial economics 16 (2022) 1, pp. 125-152

Persistent link: https://www.econbiz.de/10013167720

Asymptotic analysis of the mixed-exponential jump diffusion model and its financial applications

Shi, Chao - In: Journal of economic dynamics & control 143 (2022), pp. 1-17

Persistent link: https://www.econbiz.de/10013542969

A comparative analysis of housing prices in different cities using the Black-Scholes and Jump Diffusion models

Oh, Sebeom; Ku, Hyejin; Jun, Doobae - In: Finance research letters 46 (2022) 1, pp. 1-6

Persistent link: https://www.econbiz.de/10013339274

Statistical arbitrage in jump-diffusion models with compound Poisson processes

Akyildirim, Erdinc; Fabozzi, Frank J.; Goncu, Ahmet; … - In: Risk management decisions and value under uncertainty, (pp. 1357-1371). 2022

Persistent link: https://www.econbiz.de/10013342121

Real-option valuation in a finite-time, incomplete market with jump diffusion and investor-utility inflation

Hillman, Timothy; Zhang, Nan; Jin, Zhuo - In: Risks 6 (2018) 2, pp. 1-20

value is partly describable according to a jump-diffusion process, and incorporation of a time-dependent investor utility …

Persistent link: https://www.econbiz.de/10011996609

Hierarchical Markov model in life insurance and social benefit schemes

Jang, Jiwook; Ramli, Siti Norafidah Mohd - In: Risks 6 (2018) 3, pp. 1-17

We explored the effect of the jump-diffusion process on a social benefit scheme consisting of life insurance …. Assuming independent state-wise intensities taking the form of a jump-diffusion process and deterministic interest rates, we … demonstrated the state of the reserves for the scheme under jump-diffusion and non-jump-diffusion settings. By decomposing the …

Persistent link: https://www.econbiz.de/10011996625

Real-option valuation in a finite-time, incomplete market with jump diffusion and investor-utility inflation

Hillman, Timothy; Zhang, Nan; Jin, Zhuo - In: Risks : open access journal 6 (2018) 2, pp. 1-20

value is partly describable according to a jump-diffusion process, and incorporation of a time-dependent investor utility …

Persistent link: https://www.econbiz.de/10011866522

Hierarchical Markov model in life insurance and social benefit schemes

Jang, Jiwook; Ramli, Siti Norafidah Mohd - In: Risks : open access journal 6 (2018) 3, pp. 1-17

Persistent link: https://www.econbiz.de/10011867488