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  • Search: subject:"Jump Diffusion"
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Year of publication
Subject
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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
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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)
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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 Conference paper 1 Konferenzbeitrag 1 Sammelwerk 1
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Language
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English 480 Undetermined 225 German 4 Spanish 2 Romanian 1
Author
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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
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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...
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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
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ECONIS (ZBW) 382 RePEc 272 EconStor 40 USB Cologne (business full texts) 10 BASE 5 Other ZBW resources 3
Showing 31 - 40 of 712
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Time-discrete hedging of down-and-out puts with overnight trading gaps
Baule, Rainer; Rosenthal, Philip - In: Journal of risk and financial management : JRFM 15 (2022) 1, pp. 1-20
Hedging down-and-out puts (and up-and-out calls), where the maximum payoff is reached just before a barrier is hit that would render the claim worthless afterwards, is challenging. All hedging methods potentially lead to large errors when the underlying is already close to the barrier and the...
Persistent link: https://www.econbiz.de/10012813892
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Price jump diffusion in Iranian housing market (Merton model and NGARCH approach)
Dinarzehi, Khadijeh; Shahiki Tash, Mohammad Nabi - In: Iranian economic review : journal of University of Tehran 26 (2022) 2, pp. 369-388
Persistent link: https://www.econbiz.de/10013365654
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An Algorithm for the pricing and timing of the option to make a two-stage investment with credit guarantees
Dong, Linjia; Yang, Zhaojun - In: Computational economics 60 (2022) 3, pp. 1175-1196
Persistent link: https://www.econbiz.de/10013380893
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Estimating option pricing models using a characteristic function-based linear state space representation
Boswijk, Herman Peter; Laeven, Roger J. A.; Vladimirov, … - 2022
We develop a novel filtering and estimation procedure for parametric option pricing models driven by general affine jump-diffusions. Our procedure is based on the comparison between an option-implied, model-free representation of the conditional log-characteristic function and the model-implied...
Persistent link: https://www.econbiz.de/10013413523
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An exchange rate model where the fundamentals follow a jump-diffusion process
Cupidon, Jean René; Hyppolite, Judex - In: Cogent economics & finance 10 (2022) 1, pp. 1-23
This paper presents some models of exchange rate with jumps, namely jump diffusion exchange rate models. Jump diffusion … modeling in general. However, even the simplest jump diffusion model introduces some analytical difficulty in terms of finding … to the models and also investigate the model’s predictions of the exchange rate. We introduce two jump diffusion models …
Persistent link: https://www.econbiz.de/10013431567
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Tail risk management and the skewness premium
Kipp, Martin; Koziol, Christian - In: The journal of asset management : a major new, … 23 (2022) 6, pp. 534-546
Persistent link: https://www.econbiz.de/10013392130
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The informational content of high-frequency option prices
Amaya, Diego; Bégin, Jean-François; Gauthier, Geneviève - In: Management science : journal of the Institute for … 68 (2022) 3, pp. 2166-2201
Persistent link: https://www.econbiz.de/10013267926
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Testing the closed-form spread option pricing formula based on Gauss-hermite quadrature for a jump-diffusion model
Lin, Xenos Chang-Shuo; Miao, Daniel Wei-Chung; Chang, … - In: Computational economics 64 (2024) 5, pp. 2879-2908
Persistent link: https://www.econbiz.de/10015144084
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Valuations of generalized variance swaps under the jump-diffusion model with stochastic liquidity risk
Wang, Ke; Guo, Xun-xiang; Zhang, Hong-yu - In: The North American journal of economics and finance : a … 73 (2024), pp. 1-27
Persistent link: https://www.econbiz.de/10014581051
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Impact of correlation between interest rates and mortality rates on the valuation of various life insurance products
Deelstra, Griselda; Devolder, Pierre; Roelants du … - 2024
Persistent link: https://www.econbiz.de/10015154564
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