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Search: subject:"Jump Diffusion Model"
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Optionspreistheorie
58
Option pricing theory
57
Stochastic process
54
Stochastischer Prozess
53
Volatility
35
Volatilität
35
jump-diffusion model
27
Option trading
22
Optionsgeschäft
22
Jump-diffusion model
20
CAPM
17
Jump diffusion model
14
Portfolio selection
14
Portfolio-Management
14
jump diffusion model
12
Börsenkurs
10
Monte Carlo simulation
10
Share price
10
Black-Scholes model
9
Black-Scholes-Modell
9
Theorie
9
Theory
9
Derivat
8
Derivative
8
Markov chain
8
Markov-Kette
8
Monte-Carlo-Simulation
8
Schätztheorie
8
Estimation theory
7
Risk
7
Option pricing
6
Risiko
6
Statistische Verteilung
6
Time series analysis
6
Zeitreihenanalyse
6
Bayes-Statistik
5
Bayesian inference
5
Capital income
5
Estimation
5
Kapitaleinkommen
5
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Undetermined
55
Free
39
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Article
90
Book / Working Paper
31
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Article in journal
60
Aufsatz in Zeitschrift
60
Working Paper
12
Graue Literatur
8
Non-commercial literature
8
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7
Article
3
Aufsatz im Buch
3
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3
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English
89
Undetermined
31
German
1
Author
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Stübinger, Johannes
5
Aboura, Sofiane
4
Björk, Tomas
4
Fabozzi, Frank J.
4
Forbes, Catherine Scipione
4
Kostrzewski, Maciej
4
Maneesoonthorn, Worapree
4
Martin, Gael M.
4
Chen, Jun-Home
3
Endres, Sylvia
3
Framstad, Nils Chr.
3
Hainaut, Donatien
3
Lian, Yu-Min
3
Muroi, Yoshifumi
3
Siu, Tak Kuen
3
Suda, Shintaro
3
Vasiljević, Nikola
3
Xu, Weijun
3
Branger, Nicole
2
Chakrabarty, Anindya
2
Chekenya, Nixon S.
2
Chesney, Marc
2
Chin, Seong Tah
2
Dong, Yinghui
2
Dubey, Rameshwar
2
Fard, Farzad Alavi
2
Gapeev, Pavel V.
2
Grith, Maria
2
Hulley, Hardy
2
Jiang, Shan
2
Juma, Mussa
2
Kabanov, Yuri
2
Kaldasch, Joachim
2
Krätschmer, Volker
2
Ku, Hyejin
2
Kyriakou, Ioannis
2
Larsen, Linda Sandris
2
Lee, Min Cherng
2
Leippold, Markus
2
Li, Hongyi
2
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Institution
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Université Paris-Dauphine (Paris IX)
3
Economics Institute for Research (SIR), Handelshögskolan i Stockholm
2
Sonderforschungsbereich 649: Ökonomisches Risiko, Wirtschaftswissenschaftliche Fakultät
2
Volkswirtschaftliche Fakultät, Ludwig-Maximilians-Universität München
2
Bank for International Settlements (BIS)
1
Colwell, David , Banking & Finance, Australian School of Business, UNSW
1
Deutsche Zentralbibliothek für Wirtschaftswissenschaften - Leibniz-Informationszentrum Wirtschaft (ZBW)
1
EconWPA
1
EconomiX, Université Paris Ouest-Nanterre la Défense (Paris X)
1
Lee, Brendan Chee-Seng, Banking & Finance, Australian School of Business, UNSW
1
Society for Computational Economics - SCE
1
Université Paris-Dauphine
1
Økonomisk institutt, Universitetet i Oslo
1
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Published in...
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Computational economics
4
Finance research letters
4
Insurance / Mathematics & economics
4
International journal of theoretical and applied finance
4
Central European journal of economic modelling and econometrics
3
Economics Papers from University Paris Dauphine
3
Quantitative finance
3
SSE/EFI Working Paper Series in Economics and Finance
3
Working paper / Department of Econometrics and Business Statistics, Monash University
3
Applied economics letters
2
Applied mathematical finance
2
Cogent Economics & Finance
2
Cogent economics & finance
2
Energy economics
2
Finance and Stochastics
2
Insurance: Mathematics and Economics
2
International Journal of Theoretical and Applied Finance (IJTAF)
2
International journal of financial engineering
2
Journal of banking & finance
2
Journal of economic dynamics & control
2
Journal of mathematical finance
2
MPRA Paper
2
Management Science
2
SFB 649 Discussion Paper
2
SFB 649 Discussion Papers
2
Statistics & Probability Letters
2
The European journal of finance
2
Applied Mathematical Finance
1
BIS Working Papers
1
Business Process Management Journal
1
Business process management journal
1
Central European Journal of Economic Modelling and Econometrics
1
Computing in Economics and Finance 2003
1
EconStor Preprints
1
Econometrics
1
EconomiX Working Papers
1
Economic modelling
1
Energy Economics
1
European journal of operational research : EJOR
1
FAU Discussion Papers in Economics
1
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Source
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ECONIS (ZBW)
71
RePEc
37
EconStor
9
BASE
2
Other ZBW resources
2
Showing
21
-
30
of
121
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21
Dynamic price jumps : the performance of high frequency tests and measures, and the robustness of inference
Maneesoonthorn, Worapree
;
Martin, Gael M.
;
Forbes, …
-
2018
Persistent link: https://www.econbiz.de/10012583570
Saved in:
22
"Performance and effects of linear feedback stock trading strategies"
Baumann, Michael
-
2018
Persistent link: https://www.econbiz.de/10012153001
Saved in:
23
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:
24
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:
25
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:
26
Pricing exotic option under jump-diffusion models by the quadrature method
Zhang, Jin-Yu
;
Wu, Wen-Bo
;
Li, Yong
;
Lou, Zhu-Sheng
- In:
Computational economics
58
(
2021
)
3
,
pp. 867-884
Persistent link: https://www.econbiz.de/10012651045
Saved in:
27
Cojump risks and their impacts on option pricing
Lian, Yu-Min
;
Chen, Jun-Home
;
Liao, Szu-Lang
- In:
The quarterly review of economics and finance : journal …
79
(
2021
),
pp. 399-410
Persistent link: https://www.econbiz.de/10012655076
Saved in:
28
Evaluation of variable annuity guarantees with the effect of jumps in the asset price process
Juma, Mussa
;
Lee, Min Cherng
;
Chin, Seong Tah
;
Liew, …
- In:
Cogent Economics & Finance
5
(
2017
)
1
,
pp. 1-17
prices from calibrated Black-Scholes model to that of calibrated
jump-diffusion
model
. Although both models assume constant …
Persistent link: https://www.econbiz.de/10011988759
Saved in:
29
Pairs trading with a mean-reverting
jump-diffusion
model
on high-frequency data
Stübinger, Johannes
;
Endres, Sylvia
-
2017
This paper develops a pairs trading framework based on a mean-reverting
jump-diffusion
model
and applies it to minute …
Persistent link: https://www.econbiz.de/10011644776
Saved in:
30
Evaluation of variable annuity guarantees with the effect of jumps in the asset price process
Juma, Mussa
;
Lee, Min Cherng
;
Chin, Seong Tah
;
Liew, …
- In:
Cogent economics & finance
5
(
2017
)
1
,
pp. 1-17
prices from calibrated Black–Scholes model to that of calibrated
jump-diffusion
model
. Although both models assume constant …
Persistent link: https://www.econbiz.de/10011881290
Saved in:
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