Search Results - subject:"Option pricing theory"

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://www.econbiz.de/10015101647

Learning the random variables in Monte Carlo simulations with stochastic gradient descent : machine learning for parametric PDEs and financial derivative pricing

Becker, Sebastian; Jentzen, Arnulf; Müller, Marvin S.; … - In: Mathematical finance : an international journal of … 34 (2024) 1, pp. 90-150

Persistent link: https://www.econbiz.de/10014471160

Term structure modeling with overnight rates beyond stochastic continuity

Fontana, Claudio; Grbac, Zorana; Schmidt, Thorsten - In: Mathematical finance : an international journal of … 34 (2024) 1, pp. 151-189

Persistent link: https://www.econbiz.de/10014471210

Does market efficiency matter for Shanghai 50 ETF index options?

Hoque, Ariful; Le, Thi; Hasan, Morshadul; Abedin, … - In: Research in international business and finance 67 (2024) 2, pp. 1-9

Persistent link: https://www.econbiz.de/10014451551

The impact of global energy price volatility on oil derivative and local price in Jordan : using DCC-GARCH model

Adailah, Radi Mohammad; Al-Damour, Saba Bassam; … - In: International Journal of Energy Economics and Policy : IJEEP 14 (2024) 1, pp. 336-348

Persistent link: https://www.econbiz.de/10014486378

Scheduling processes and inference of scheduled events from price data

Leippold, Markus; Svaton, Michal - 2024

Persistent link: https://www.econbiz.de/10014486795

Political uncertainty and currency markets

Leippold, Markus; Matthys, Felix; Mueller, Philippe; … - 2024

Persistent link: https://www.econbiz.de/10014486798

Speeding up the Euler scheme for killed diffusions

Çetin, Umut; Hok, Julien - In: Finance and stochastics 28 (2024) 3, pp. 663-707

Persistent link: https://www.econbiz.de/10015130359

Advantages of accounting for stochasticity in the premium process

Miao, Yang; Sendova, Kristina P. - In: Risks : open access journal 12 (2024) 10, pp. 1-25

In this paper, we study a risk model with stochastic premium income and its impact on solvency risk management. It is assumed that both the premium arrival process and the claim arrival process are modelled by homogeneous Poisson processes, and that the premium amounts are modelled by...

Persistent link: https://www.econbiz.de/10015130492

A Barndorff-Nielsen and Shephard model with leverage in Hilbert space for commodity forward markets

Benth, Fred Espen; Sgarra, Carlo - In: Finance and stochastics 28 (2024) 4, pp. 1035-1076

Persistent link: https://www.econbiz.de/10015130552