Search Results - subject:"Jump Diffusion"

Fast and accurate computation of the regime-switching jump-diffusion option prices using laplace transform and compact difference with convergence guarantee

In: Computational economics 64 (2024) 1, pp. 57-80

Persistent link: https://www.econbiz.de/10015078003

Pricing airbag option via first passage time approach

Liu, Zheng; Qian, Xiaosong; Yao, Jing; Dong, Yinghui - In: Quantitative finance 24 (2024) 7, pp. 955-974

Persistent link: https://www.econbiz.de/10015050807

Pricing vulnerable options under cross-asset markov-modulated jump-diffusion dynamics

Lian, Yu-Min; Chen, Jun-Home - In: International review of economics & finance : IREF 94 (2024), pp. 1-14

Persistent link: https://www.econbiz.de/10014582767

Stability and mean growth rate of stochastic Solow model driven by jump-diffusion process

Liao, Zhong-Wei; Shao, Jinghai - In: Journal of mathematical economics 111 (2024), pp. 1-8

Persistent link: https://www.econbiz.de/10015071631

Effect of the U.S.-China trade war on stock markets : a financial contagion perspective

Oh, Minseog; Kim, Donggyu - 2024

Persistent link: https://www.econbiz.de/10015338760

Optimal investment and reinsurance strategies for an insurer with regime-switching

Shen, Weiwei - In: Mathematics and financial economics 18 (2024) 4, pp. 555-576

Persistent link: https://www.econbiz.de/10015189214

An actuarial approach for modeling pandemic risk

Hainaut, Donatien - In: Risks 9 (2021) 1, pp. 1-28

In this article, a model for pandemic risk and two stochastic extensions is proposed. It is designed for actuarial valuation of insurance plans providing healthcare and death benefits. The core of our approach relies on a deterministic model that is an efficient alternative to the...

Persistent link: https://www.econbiz.de/10013200673