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Search: subject:"Jump Diffusion"
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Subject
All
Stochastischer Prozess
282
Optionspreistheorie
279
Stochastic process
278
Option pricing theory
273
Volatilität
171
Volatility
170
Option trading
94
Optionsgeschäft
94
Jump diffusion
81
Portfolio selection
80
Portfolio-Management
80
Theorie
77
Theory
71
jump diffusion
67
CAPM
60
Markov chain
59
Markov-Kette
57
jump-diffusion
55
Jump-diffusion
52
Derivat
51
Derivative
51
Monte Carlo simulation
43
Jump-diffusion process
38
Monte-Carlo-Simulation
38
Option pricing
33
Börsenkurs
32
Share price
31
Risk
30
Stochastic volatility
30
Risiko
29
Black-Scholes model
27
Capital income
27
Kapitaleinkommen
27
Schätzung
27
jump-diffusion model
27
Black-Scholes-Modell
26
Estimation
26
Hedging
25
Schätztheorie
25
option pricing
25
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Online availability
All
Undetermined
364
Free
214
CC license
8
Type of publication
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Article
530
Book / Working Paper
182
Type of publication (narrower categories)
All
Article in journal
335
Aufsatz in Zeitschrift
335
Working Paper
58
Graue Literatur
37
Non-commercial literature
37
Arbeitspapier
35
Article
16
Hochschulschrift
7
Thesis
6
Aufsatz im Buch
4
Book section
4
research-article
2
Collection of articles of several authors
1
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1
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1
Sammelwerk
1
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English
480
Undetermined
225
German
4
Spanish
2
Romanian
1
Author
All
Lleo, Sébastien
17
Davis, Mark H. A.
16
Chiarella, Carl
11
Ziogas, Andrew
9
Cai, Ning
7
Hainaut, Donatien
7
Lin, Shih-kuei
7
Platen, Eckhard
7
Söhl, Jakob
7
Mason, Charles F.
6
Rodrigues, Paulo Jorge Maurício
6
Seeger, Norman
6
Xiao, Tim
6
Belomestny, Denis
5
Jang, Jiwook
5
Jin, Xing
5
Kostrzewski, Maciej
5
Maneesoonthorn, Worapree
5
Martin, Gael M.
5
Nguyen, Duy
5
Siu, Tak Kuen
5
Stübinger, Johannes
5
Wilmot, Neil A.
5
Yang, Hailiang
5
Yun, Jaeho
5
Zou, Bin
5
Aboura, Sofiane
4
Björk, Tomas
4
Boss, Michael
4
Brigo, Damiano
4
Bruti-Liberati, Nicola
4
Cheang, Gerald H. L.
4
Creel, Michael D.
4
Dotsis, George
4
Fabozzi, Frank J.
4
Forbes, Catherine Scipione
4
Ignatieva, Ekaterina
4
Kahl, Christian
4
Kirkby, J. Lars
4
Klisz, Chris
4
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Institution
All
Volkswirtschaftliche Fakultät, Ludwig-Maximilians-Universität München
10
Finance Discipline Group, Business School
8
Sonderforschungsbereich 649: Ökonomisches Risiko, Wirtschaftswissenschaftliche Fakultät
8
Society for Computational Economics - SCE
7
EconWPA
4
HAL
4
Henley Business School, University of Reading
3
Université Paris-Dauphine (Paris IX)
3
C.E.P.R. Discussion Papers
2
CESifo
2
Center for Advanced Research in Finance and Banking (CARFIB), Academia de Studii Economice din Bucureşti
2
Department of Economics and Business, Universitat Pompeu Fabra
2
Econometric Society
2
Economics Institute for Research (SIR), Handelshögskolan i Stockholm
2
London School of Economics and Political Science
2
Sonderforschungsbereich 373, Quantifikation und Simulation ökonomischer Prozesse, Wirtschaftswissenschaftliche Fakultät
2
Swiss Finance Institute
2
University of Bonn, Germany
2
Wirtschaftswissenschaftliches Zentrum <Basel>
2
World Scientific Publishing Co. Pte. Ltd.
2
Agricultural and Applied Economics Association - AAEA
1
BANCO DE LA REPÚBLICA
1
Banca d'Italia
1
Banco de la Republica de Colombia
1
Bank for International Settlements (BIS)
1
Center for Economic Research <Minneapolis, Minn.>
1
Colwell, David , Banking & Finance, Australian School of Business, UNSW
1
Cowles Foundation for Research in Economics, Yale University
1
Department of Economics and Finance Research and Teaching, Institut für Höhere Studien (IHS)
1
Department of Economics, Adam Smith Business School
1
Department of Economics, Iowa State University
1
Department of Economics, University of Kansas
1
Department of Economics, University of Texas-Austin
1
Deutsche Zentralbibliothek für Wirtschaftswissenschaften - Leibniz-Informationszentrum Wirtschaft (ZBW)
1
EconomiX, Université Paris Ouest-Nanterre la Défense (Paris X)
1
European Association of Agricultural Economists - EAAE
1
European Science Foundation Network in Financial Markets, c/o C.E.P.R, 77 Bastwick Street, London EC1V 3PZ.
1
Finance Press
1
Finance, University of Technology, Sydney,; Gunter Meyer, School of Mathematics, Georgia Institute of Technology,; Andrew Ziogas, School of Economics
1
Graduate School of Economics, Kyoto University
1
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Published in...
All
International journal of theoretical and applied finance
26
International Journal of Theoretical and Applied Finance (IJTAF)
21
Insurance / Mathematics & economics
18
Quantitative finance
16
Risk-Sensitive Investment Management
15
Journal of banking & finance
14
Finance and Stochastics
12
European journal of operational research : EJOR
11
Finance research letters
11
Journal of mathematical finance
11
Computational economics
10
Energy economics
10
Journal of Banking & Finance
10
MPRA Paper
10
Applied Mathematical Finance
9
International journal of financial engineering
9
Journal of economic dynamics & control
9
Research Paper Series / Finance Discipline Group, Business School
8
SFB 649 Discussion Papers
8
Applied mathematical finance
7
Insurance: Mathematics and Economics
7
Quantitative Finance
7
Statistics & Probability Letters
7
The European journal of finance
7
Mathematics and financial economics
6
Review of Derivatives Research
6
Risks : open access journal
6
SFB 649 Discussion Paper
6
Computational Statistics
5
Energy Economics
5
Mathematical Methods of Operations Research
5
Operations research letters
5
Review of derivatives research
5
Scandinavian actuarial journal
5
Stochastic Processes and their Applications
5
The journal of computational finance
5
Annals of finance
4
Economic modelling
4
International review of economics & finance : IREF
4
Journal of econometrics
4
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Source
All
ECONIS (ZBW)
382
RePEc
272
EconStor
40
USB Cologne (business full texts)
10
BASE
5
Other ZBW resources
3
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111
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120
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712
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111
Binomial tree method for option pricing : discrete Carr and Madan formula approach
Muroi, Yoshifumi
;
Saeki, Ryota
;
Suda, Shintaro
- In:
International journal of financial engineering
8
(
2021
)
2
,
pp. 1-28
Persistent link: https://www.econbiz.de/10012662360
Saved in:
112
Pricing discretely monitored barrier options : When Malliavin calculus expansions meet Hilbert transforms
Cai, Ning
;
Li, Chenxu
;
Shi, Chao
- In:
Journal of economic dynamics & control
127
(
2021
),
pp. 1-41
Persistent link: https://www.econbiz.de/10012668507
Saved in:
113
Price dynamics of individual stocks : jumps and information
Xiao, Yuewen
;
Zhao, Jing
- In:
Finance research letters
38
(
2021
),
pp. 1-8
Persistent link: https://www.econbiz.de/10012485357
Saved in:
114
Mean-variance investment and risk control strategies : a time-consistent approach via a forward auxiliary process
Shen, Yang
;
Zou, Bin
- In:
Insurance / Mathematics & economics
97
(
2021
),
pp. 68-80
Persistent link: https://www.econbiz.de/10012491963
Saved in:
115
Multiple co-jumps in the cross-section of US equities and the identification of system(at)ic movements
Bonaccolto, G.
;
Caporin, Massimiliano
;
Zambon, N.
- In:
The European journal of finance
27
(
2021
)
11
,
pp. 1098-1116
Persistent link: https://www.econbiz.de/10012609265
Saved in:
116
Pricing European option under fuzzy mixed fractional Brownian motion model with jumps
Zhang, Wei-guo
;
Li, Zhe
;
Liu, Yong-Jun
;
Zhang, Yue
- In:
Computational economics
58
(
2021
)
2
,
pp. 483-515
Persistent link: https://www.econbiz.de/10012615049
Saved in:
117
Foreign currency power option pricing based on Esscher transform
Li, Wenhan
;
Li, Cuixiang
;
Liu, Lixia
;
Wang, Mengna
- In:
Computational economics
58
(
2021
)
2
,
pp. 535-548
Persistent link: https://www.econbiz.de/10012615075
Saved in:
118
Informative option portfolios in filter design for option pricing models
Orłowski, Piotr
- In:
Quantitative finance
21
(
2021
)
6
,
pp. 945-965
Persistent link: https://www.econbiz.de/10012515627
Saved in:
119
A computational approach to first passage problems of reflected hyperexponential
jump
diffusion
processes
Cai, Ning
;
Yang, Xuewei
- In:
INFORMS journal on computing : JOC
33
(
2021
)
1
,
pp. 216-229
Persistent link: https://www.econbiz.de/10012496376
Saved in:
120
Portfolio allocation in a Levy-type
jump-diffusion
model with nonlife insurance risk
Serrano, Rafael
- In:
International journal of theoretical and applied finance
24
(
2021
)
1
,
pp. 1-34
Persistent link: https://www.econbiz.de/10012650242
Saved in:
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