Search Results - subject:"Jump Diffusion Model"

Quantile hedging and its application to life insurance

Melnikov, Alexander; Skornyakova, Victoria - In: Statistics & Decisions 23 (2005) 4, pp. 301-316

-off functions of these insurance contracts are equal to the maximum of two risky assets in a two-factor jump-diffusion model …

Persistent link: https://www.econbiz.de/10014621312

Benchmarking and fair pricing applied to two market models

Hulley, Hardy; Miller, Shane; Platen, Eckhard - In: The Kyoto economic review 74 (2005) 1, pp. 85-118

Persistent link: https://www.econbiz.de/10003379597

Minimization of shortfall risk in a jump-diffusion model

Nakano, Yumiharu - In: Statistics & Probability Letters 67 (2004) 1, pp. 87-95

In a jump-diffusion model of complete financial markets, we study the problem of minimizing the expectation of hedging …

Persistent link: https://www.econbiz.de/10005053178

Pricing American currency options in an exponential Levy model

Chesney, Marc; Jeanblanc, M. - In: Applied Mathematical Finance 11 (2004) 3, pp. 207-225

In this article the problem of the American option valuation in a Levy process setting is analysed. The perpetual case is first considered. Without possible discontinuities (i.e. with negative jumps in the call case), known results concerning the currency option value as well as the exercise...

Persistent link: https://www.econbiz.de/10005279053

Modeling highly volatile and seasonal markets: evidence from the Nord Pool electricity market

Weron, Rafal; Simonsen, Ingve; Wilman, Piotr - EconWPA - 2003

unobservable in other financial or commodity markets price dynamics we propose a mean reverting jump diffusion model. We fit the …

Persistent link: https://www.econbiz.de/10005407920

McKean’s Method applied to American Call Options on Jump-Diffusion Processes

Ziogas, Andrew; Chiarella, Carl - Society for Computational Economics - SCE - 2003

Persistent link: https://www.econbiz.de/10005132910

Application of the Fast Gauss Transform to Option Pricing

Broadie, Mark; Yamamoto, Yusaku - In: Management Science 49 (2003) 8, pp. 1071-1088

for the Black-Scholes model and Merton's lognormal jump-diffusion model. We also propose extensions of the fast Gauss …

Persistent link: https://www.econbiz.de/10009209096

On Lévy processes, Malliavin calculus and market models with jumps

Vives, Josep; León, Jorge A.; Utzet, Frederic; Solé, … - In: Finance and Stochastics 6 (2002) 2, pp. 197-225

Malliavin derivatives are deduced. Applications for option hedging in a jump-diffusion model are given. …

Persistent link: https://www.econbiz.de/10005390667

Towards a general theory of bond markets (*)

Masi, Giovanni Di; Björk, Tomas; Runggaldier, Wolfgang; … - In: Finance and Stochastics 1 (1997) 2, pp. 141-174

is discussed and HJM-type conditions are derived for a jump-diffusion model. The question of market completeness is …

Persistent link: https://www.econbiz.de/10005613425

On rational jump diffusion models : an approach using potentials

Burnetas, Apostolos N. - In: Review of derivatives research 1 (1997) 4, pp. 325-349

Persistent link: https://www.econbiz.de/10001238756