Search Results - subject:"Jump diffusion process"

Local M-estimation for jump-diffusion processes

Wang, Yunyan; Zhang, Lixin; Tang, Mingtian - In: Statistics & Probability Letters 82 (2012) 7, pp. 1273-1284

In this paper, we develop local M-estimation for the infinitesimal moments in the jump-diffusion model based on discrete-time observations. The consistency and asymptotic normality of the local M-estimators for the infinitesimal moments are obtained under mild conditions. The simulation studies...

Persistent link: https://www.econbiz.de/10010571803

Pricing Weather Derivatives

Richards, Timothy J.; Manfredo, Mark R.; Sanders, Dwight R. - Morrison School of Agribusiness & Resource Management, … - 2004

This paper presents a general method for pricing weather derivatives. Specification tests find that a temperature series for Fresno, California follows a mean-reverting Brownian motion process with discrete jumps and ARCH errors. Based on this process, we define an equilibrium pricing model for...

Persistent link: https://www.econbiz.de/10005805319

Approximation of A Jump-Diffusion Process

Lee, Sanghoon - Econometric Society - 2004

We present a weak convergence of a discrete time process to a jump-diffusion process as the length of sampling interval … time ARCH process as an approximation of a jump-diffusion process in estimation and forecasting. And we may use the jump-diffusion … process as an approximation of ARCH process when there is distributional results available for the jump-diffusion limit of the …

Persistent link: https://www.econbiz.de/10005130234

APPROXIMATING LÉVY PROCESSES WITH A VIEW TO OPTION PRICING

CROSBY, JOHN; SAUX, NOLWENN LE; MIJATOVIĆ, ALEKSANDAR - In: International Journal of Theoretical and Applied … 13 (2010) 01, pp. 63-91

We examine how to approximate a Lévy process by a hyperexponential jump-diffusion (HEJD) process, composed of Brownian motion and of an arbitrary number of sums of compound Poisson processes with double exponentially distributed jumps. This approximation will facilitate the pricing of exotic...

Persistent link: https://www.econbiz.de/10008487380

Applying jump-diffusion processes to liquidate and convert venture capital

Lin, Tyrone; Ko, Chuan-Chuan; Chang, Chia-Wen - In: Quality & Quantity: International Journal of Methodology 44 (2010) 5, pp. 817-832

Persistent link: https://www.econbiz.de/10009396170

AVERAGE OPTIONS FOR JUMP DIFFUSION MODELS

KUNITA, HIROSHI; YAMADA, TAKUYA - In: Asia-Pacific Journal of Operational Research (APJOR) 27 (2010) 02, pp. 143-166

In this paper, we study the problem of pricing average strike options in the case where the price processes are jump diffusion processes. As to the striking value we take the geometric average of the price process. Two cases are studied in details: One is the case where the jumping law of the...

Persistent link: https://www.econbiz.de/10008464904

THE VALUATION OF RUSSIAN OPTIONS FOR DOUBLE EXPONENTIAL JUMP DIFFUSION PROCESSES

SUZUKI, ATSUO; SAWAKI, KATSUSHIGE - In: Asia-Pacific Journal of Operational Research (APJOR) 27 (2010) 02, pp. 227-242

In this paper, we derive closed form solution for Russian option with jumps. First, we discuss the pricing of Russian options when the stock pays dividends continuously. Secondly, we derive the value function of Russian options by solving the ordinary differential equation with some conditions...

Persistent link: https://www.econbiz.de/10008464907

A bridge from ruin theory to credit risk

Chen, Cho-Jieh; Panjer, Harry - In: Review of Quantitative Finance and Accounting 32 (2009) 4, pp. 373-403

Persistent link: https://www.econbiz.de/10004999600

On the Numerical Evaluation of Option Prices in Jump Diffusion Processes

Carr, Peter; Mayo, Anita - In: The European Journal of Finance 13 (2007) 4, pp. 353-372

The fair price of a financial option on an asset that follows a Poisson jump diffusion process satisfies a partial …

Persistent link: https://www.econbiz.de/10005472004

Optimal portfolio selection when stock prices follow an jump-diffusion process

Guo, Wenjing; Xu, Chengming - In: Mathematical Methods of Operations Research 60 (2004) 3, pp. 485-496

A portfolio selection problem in which the prices of stocks follow jump-diffusion process is studied. The objective is … verification theorem for general stochastic optimal control with states following an jump-diffusion process is showed. By applying …

Persistent link: https://www.econbiz.de/10010950296