This study extends the GARCH pricing tree in Ritchken and Trevor (J Financ 54:366–402, <CitationRef CitationID="CR33">1999</CitationRef>) by incorporating an additional jump process to develop a lattice model to value options. The GARCH-jump model can capture the behavior of asset prices more appropriately given its consistency with...</citationref>

We consider the dynamic portfolio choice problem in a jump-diffusion model, where an investor may face constraints on her portfolio weights: for instance, no-short-selling constraints. It is a daunting task to use standard numerical methods to solve a constrained portfolio choice problem,...

This paper investigates executive earnings-based bonuses in a general equilibrium economy. Unlike the existing study, combining the two frameworks in the fields of accounting and economics allows us to examine different earnings characteristics determined by the correlation between...

This study provides the valuation of mortgage insurance (MI) considering upward and downward jumps in housing prices, which display separate distributions and probabilities of occurrence, and the mortgage insurer’s default risk. The empirical results indicate that the asymmetric double...

This paper proposes a quantile regression estimator for the diffusion parameter in diffusion processes with compound Poisson jumps. The method is based on discretely sampled observations at high frequency. We verify its consistency and exhibit its robustness to jumps through a simulation study.