Search Results - subject:"diffusions"

Two sided ergodic singular control and mean-field game for diffusions

Christensen, Sören; Mordecki, Ernesto; Oliú, Facundo - In: Decisions in economics and finance : a journal of … 48 (2025) 1, pp. 241-267

Persistent link: https://www.econbiz.de/10015593579

Pricing options with vanishing stochastic volatility

Mastroeni, Loretta - In: Risks : open access journal 10 (2022) 9, pp. 1-16

In the past years, there has been an extensive investigation of the class of stochastic volatility models for the evaluation of options and complex derivatives. These models have proven to be extremely useful in generalizing the classic Black-Scholes economy and accounting for discrepancies...

Persistent link: https://www.econbiz.de/10013473177

Stopping spikes, continuation bays and other features of optimal stopping with finite-time horizon

De Angelis, Tiziano - 2022

Persistent link: https://www.econbiz.de/10013331014

Pricing options with vanishing stochastic volatility

Mastroeni, Loretta - In: Risks : open access journal 10 (2022) 9, pp. 1-16

Persistent link: https://www.econbiz.de/10013368982

Spectral expansions for credit risk modelling with occupation times

Campolieti, Giuseppe; Kato, Hiromichi; Makarov, Roman - In: Risks : open access journal 10 (2022) 12, pp. 1-20

We study two credit risk models with occupation time and liquidation barriers: the structural model and the hybrid model with hazard rate. The defaults within the models are characterized in accordance with Chapter 7 (a liquidation process) and Chapter 11 (a reorganization process) of the U.S....

Persistent link: https://www.econbiz.de/10014230904

Option pricing in an investment risk-return setting

Stoyanov, Stoyan V.; Račev, Svetlozar T.; Shirvani, … - In: Applied economics 54 (2022) 14, pp. 1625-1638

Persistent link: https://www.econbiz.de/10012875529

Polynomial jump-diffusion models

Filipović, Damir; Larsson, Martin - 2017

We develop a comprehensive mathematical framework for polynomial jump-diffusions in a semimartingale context, which … nest affine jump-diffusions and have broad applications in finance. We show that the polynomial property is preserved under … based on polynomial jump-diffusions …

Persistent link: https://www.econbiz.de/10011874871

Robustness of stochastic optimal control to approximate diffusion models under several cost evaluation criteria

Pradhan, Somnath; Yüksel, Serdar - In: Mathematics of operations research 49 (2024) 4, pp. 2049-2077

Persistent link: https://www.econbiz.de/10015197730

Deep high-order splitting method for semilinear degenerate PDEs and application to high-dimensional nonlinear pricing models

Naito, Riu; Yamada, Toshihiro - In: Digital finance : smart data analytics, investment … 6 (2024) 4, pp. 693-725

Persistent link: https://www.econbiz.de/10015177142

Deep Kusuoka approximation : high-order spatial approximation for solving high-dimensional Kolmogorov equations and its application to finance

Naito, Riu; Yamada, Toshihiro - In: Computational economics 64 (2024) 3, pp. 1443-1461

Persistent link: https://www.econbiz.de/10015143929