Search Results - subject:"diffusion processes"

A class of solvable reaction–diffusion processes on a Cayley tree

Alimohammadi, M.; Olanj, N. - In: Physica A: Statistical Mechanics and its Applications 389 (2010) 8, pp. 1549-1554

Considering the most general one-species reaction–diffusion processes on a Cayley tree, it has been shown that there …

Persistent link: https://www.econbiz.de/10011060563

Rate of Weak Convergence of the Euler Approximation for Diffusion Processes with Jumps

Kubilius, Kestutis; Platen, Eckhard - Finance Discipline Group, Business School - 2001

The paper estimates the speed of convergence of the Euler approximation for diffussion processes with jump component which have Holder continuous coefficients.

Persistent link: https://www.econbiz.de/10004984535

Local Nonparametric Estimation of Scalar Diffusions

Moloche, Guillermo - Volkswirtschaftliche Fakultät, … - 2001

theory is specialized for positive recurrent diffusion processes, and it is shown in this case that the asymptotic …This paper studies the functional estimation of the drift and diffusion functions for recurrent scalar diffusion … processes from equally spaced observations using the local polynomial kernel approach. Almost sure convergence and a CLT for the …

Persistent link: https://www.econbiz.de/10011110307

Temporal Aggregation of Volatility Models

Meddahi, Nour; Renault, Éric - Centre Interuniversitaire de Recherche en Analyse des … - 2000

In this paper, we consider temporal aggregation of volatility models. We introduce a semiparametric class of volatility models termed square-root stochastic autoregressive volatility (SR-SARV) and characterized by an autoregressive dynamic of the stochastic variance. Our class encompasses the...

Persistent link: https://www.econbiz.de/10005100823

Pricing measures, forward measures and semigroups

Zhou, Jinke; Wang, Xiaolu - In: Quantitative Finance 9 (2009) 4, pp. 411-416

In a Markovian setting, we introduce a class of pricing measures and forward measures. Using multiplicative perturbation theory of Markovian semigroups, we study the relationship between the pricing semigroup and the forward semigroup, and obtain the forward semigroup pricing method....

Persistent link: https://www.econbiz.de/10004966879

THE EVALUATION OF AMERICAN OPTION PRICES UNDER STOCHASTIC VOLATILITY AND JUMP-DIFFUSION DYNAMICS USING THE METHOD OF LINES

CHIARELLA, CARL; KANG, BODA; MEYER, GUNTER H.; ZIOGAS, … - In: International Journal of Theoretical and Applied … 12 (2009) 03, pp. 393-425

This paper considers the problem of numerically evaluating American option prices when the dynamics of the underlying are driven by both stochastic volatility following the square root process of Heston [18], and by a Poisson jump process of the type originally introduced by Merton [25]. We...

Persistent link: https://www.econbiz.de/10005006747

Pricing jump risk with utility indifference

Wu, Lixin; Dai, Min - In: Quantitative Finance 9 (2009) 2, pp. 177-186

This paper is concerned with option pricing in an incomplete market driven by a jump-diffusion process. We price options according to the principle of utility indifference. Our main contribution is an efficient multi-nomial tree method for computing the utility indifference prices for both...

Persistent link: https://www.econbiz.de/10005279150

Clustering of volatility in variable diffusion processes

Gunaratne, Gemunu H.; Nicol, Matthew; Seemann, Lars; … - In: Physica A: Statistical Mechanics and its Applications 388 (2009) 20, pp. 4424-4430

can be deduced from these statistical properties. We have shown previously that a class of variable diffusion processes …

Persistent link: https://www.econbiz.de/10011062577

Human capital and income distribution dynamics

Giannini, Massimo - Dipartimento di Economia e Diritto, Facoltà di Economia - 1999

The paper assumes a continuum of two period-lived agents; agents are identical except for inherited income. Young agents allocate their inheritance between consumption and investment in human capital under uncertainty. In the second period they receive a wage proportional to the accumulated...

Persistent link: https://www.econbiz.de/10009650004

BOUNDS ON OPTION PRICES IN POINT PROCESS DIFFUSION MODELS

BRETON, JEAN-CHRISTOPHE; PRIVAULT, NICOLAS - In: International Journal of Theoretical and Applied … 11 (2008) 06, pp. 597-610

We obtain lower and upper bounds on option prices in one-dimensional jump-diffusion markets with point process components. Our proofs rely in general on the classical Kolmogorov equation argument and on the propagation of convexity property for Markov semigroups, but the bounds on intensities...

Persistent link: https://www.econbiz.de/10005060220