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Year of publication
Subject
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Option pricing theory 6 Optionspreistheorie 6 Stochastic process 5 Stochastischer Prozess 5 Kou model 4 Option trading 4 Optionsgeschäft 4 Volatility 4 Volatilität 4 Bernoulli jump-diffusion model 2 Canadization 2 Carr's randomization 2 EU countries 2 EU-Staaten 2 European options 2 Kou's model 2 Lévy process 2 MCMC methods 2 Markov chain 2 Markov-Kette 2 Option pricing 2 Wiener-Hopf factorization 2 analytic method of lines 2 double barrier options 2 double exponential jump diffusion model 2 double-exponential jump-diffusion 2 double-no-touch options 2 foreign exchange 2 hyper-exponential jump-diffusion 2 latent variables 2 operator splitting methods 2 partial integro-differential equations 2 regime switching 2 stability 2 stochastic interest rate 2 stochastic volatility 2 Aktienindex 1 Bayes-Statistik 1 Bayesian inference 1 Black-Scholes model 1
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Online availability
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Free 3 Undetermined 3
Type of publication
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Article 8
Type of publication (narrower categories)
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Article in journal 6 Aufsatz in Zeitschrift 6
Language
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English 6 Undetermined 2
Author
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Hout, Karel J. in 't 2 Kostrzewski, Maciej 2 Lamotte, Pieter 2 Abbasi, Wajih 1 Amonov, Kholnazar 1 BOYARCHENKO, MITYA 1 BOYARCHENKO, SVETLANA 1 Bojarčenko, Svetlana I. 1 Boyarchenko, Mitya 1 El-Khatib, Youssef 1 Hájek, Petr 1 Ismailova, Diana 1 Khelifa, Zouhaier Ben 1 Makumbe, Zororo S. 1 Vives, Josep 1 Yessimzhanova, Saira 1
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Published in...
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Central European Journal of Economic Modelling and Econometrics 1 Central European journal of economic modelling and econometrics 1 Computational management science 1 International Journal of Theoretical and Applied Finance (IJTAF) 1 International journal of economics and financial issues : IJEFI 1 International journal of theoretical and applied finance 1 The journal of computational finance 1 The journal of computational finance : JFC 1
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Source
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ECONIS (ZBW) 6 RePEc 2
Showing 1 - 8 of 8
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Approximate option pricing under a two-factor Heston-Kou stochastic volatility model
El-Khatib, Youssef; Makumbe, Zororo S.; Vives, Josep - In: Computational management science 21 (2024) 1, pp. 1-28
Persistent link: https://www.econbiz.de/10014393433
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Efficient numerical valuation of European options under the two-asset Kou jump-diffusion model
Hout, Karel J. in 't; Lamotte, Pieter - In: The journal of computational finance 26 (2023) 4, pp. 101-137
Persistent link: https://www.econbiz.de/10014342075
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Efficient numerical valuation of European options under the two-asset Kou jump-diffusion model
Hout, Karel J. in 't; Lamotte, Pieter - In: The journal of computational finance : JFC 26 (2023) 4, pp. 101-137
Persistent link: https://www.econbiz.de/10014486917
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Kou jump diffusion model : an application to the Standard and Poor 500, Nasdaq 100 and Russell 2000 index options
Abbasi, Wajih; Hájek, Petr; Ismailova, Diana; … - In: International journal of economics and financial issues … 6 (2016) 4, pp. 1918-1929
Persistent link: https://www.econbiz.de/10011775445
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Bayesian DEJD Model and Detection of Asymmetry in Jump Sizes
Kostrzewski, Maciej - In: Central European Journal of Economic Modelling and … 7 (2015) 1, pp. 43-70
News might trigger jump arrivals in financial time series. The "bad" news and "good" news seem to have distinct impact. In the research, a double exponential jump distribution is applied to model downward and upward jumps. Bayesian double exponential jump-diffusion model is proposed. Theorems...
Persistent link: https://www.econbiz.de/10011265621
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Bayesian DEJD model and detection of asymmetry in jump sizes
Kostrzewski, Maciej - In: Central European journal of economic modelling and … 7 (2015) 1, pp. 43-70
Persistent link: https://www.econbiz.de/10011305742
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DOUBLE BARRIER OPTIONS IN REGIME-SWITCHING HYPER-EXPONENTIAL JUMP-DIFFUSION MODELS
BOYARCHENKO, MITYA; BOYARCHENKO, SVETLANA - In: International Journal of Theoretical and Applied … 14 (2011) 07, pp. 1005-1043
We present a very fast and accurate algorithm for calculating prices of finite lived double barrier options with arbitrary terminal payoff functions under regime-switching hyper-exponential jump-diffusion (HEJD) models, which generalize the double-exponential jump-diffusion model pioneered by...
Persistent link: https://www.econbiz.de/10009393848
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Double barrier options in regime-switching hyper-exponential jump-diffusion models
Boyarchenko, Mitya; Bojarčenko, Svetlana I. - In: International journal of theoretical and applied finance 14 (2011) 7, pp. 1005-1043
Persistent link: https://www.econbiz.de/10009407678
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