Search Results - subject:"Lévy jump process"

A mathematical formulation of the valuation of ether and ether derivatives as a function of investor sentiment and price jumps

Abraham, Rebecca; El-Chaarani, Hani - In: Journal of Risk and Financial Management 15 (2022) 12, pp. 1-20

utility function in the form of a Bessel function. Ether price functions consist of a Levy jump process. Ether futures are … the Levy jump process of price fluctuations during the delivery period. For ether options, a less risky ether option …

Persistent link: https://www.econbiz.de/10014332747

A mathematical formulation of the valuation of ether and ether derivatives as a function of investor sentiment and price jumps

Abraham, Rebecca; El-Chaarani, Hani - In: Journal of risk and financial management : JRFM 15 (2022) 12, pp. 1-20

Persistent link: https://www.econbiz.de/10014284296

The goodness-of-fit of the fuel-switching price using the mean-reverting Lévy jump process

Chevallier, Julien; Goutte, Stéphane - Institut de Préparation à l'Administration et à la … - 2014

considered to model the fuel-switching price: (i) the Brownian motion, and (ii) the Lévy jump process. Besides, the probability …

Persistent link: https://www.econbiz.de/10010766054