Search Results - subject:"Jump-Diffusion Models"

Empirical analysis of crude oil dynamics using affine vs. non-affine jump-diffusion models

Ignatieva, Ekaterina; Wong, Patrick - In: Journal of empirical finance 78 (2024), pp. 1-18

Persistent link: https://ebvufind01.dmz1.zbw.eu/10015101647

A jumping index of jumping stocks? : an MCMC analysis of continuous-time models for individual stocks

Pollastri, Alessandro; Rodrigues, Paulo Jorge Maurício; … - 2023

Persistent link: https://ebvufind01.dmz1.zbw.eu/10014448099

A jumping index of jumping stocks? An MCMC analysis of continuous-time models for individual stocks

Pollastri, Alessandro; Rodrigues, Paulo Jorge Maurício; … - 2022

This paper examines continuous-time models for the S&P 100 index and its constituents. We find that the jump process of the typical stock looks significantly different than that of the index. Most importantly, the average size of a jumps in the returns of the typical stock is positive, while it...

Persistent link: https://ebvufind01.dmz1.zbw.eu/10013470682

A jumping index of jumping stocks? : an MCMC analysis of continuous-time models for individual stocks

Pollastri, Alessandro; Rodrigues, Paulo Jorge Maurício; … - 2022 - This version: December 6, 2022

Persistent link: https://ebvufind01.dmz1.zbw.eu/10013465942

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://ebvufind01.dmz1.zbw.eu/10015078003

The impact of simultaneous shocks to financial markets and mortality on pension buy-out prices

Arık, Ayşe; Uğur, Ömür; Kleinow, Torsten - In: ASTIN bulletin : the journal of the International … 53 (2023) 2, pp. 392-417

Persistent link: https://ebvufind01.dmz1.zbw.eu/10014320277

Shot-noise cojumps : exact simulation and option pricing

Qu, Yan; Dassios, Angelos; Zhao, Hongbiao - In: Journal of the Operational Research Society 74 (2023) 3, pp. 647-665

Persistent link: https://ebvufind01.dmz1.zbw.eu/10014331928

A jumping index of jumping stocks? : an MCMC analysis of continuous-time models for individual stocks

Pollastri, Alessandro; Rodrigues, Paulo Jorge Maurício; … - In: Journal of empirical finance 70 (2023), pp. 322-341

Persistent link: https://ebvufind01.dmz1.zbw.eu/10014423714

Modelling high frequency crude oil dynamics using affine and non-affine jump-diffusion models

Ignatieva, Ekaterina; Wong, Patrick - In: Energy economics 108 (2022), pp. 1-21

Persistent link: https://ebvufind01.dmz1.zbw.eu/10013203083

Analytic formulas for futures and options for a linear quadratic jump diffusion model with seasonal stochastic volatility and convenience yield : do fish jump?

Ewald, Christian; Zou, Yihan - In: European journal of operational research : EJOR 294 (2021) 2, pp. 801-815

Persistent link: https://ebvufind01.dmz1.zbw.eu/10012595911