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  • Search: subject:"double-exponential"
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Year of publication
Subject
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Stochastic process 21 Stochastischer Prozess 21 Option pricing theory 20 Optionspreistheorie 20 Volatility 14 Volatilität 14 Markov chain 7 Markov-Kette 7 Double exponential distribution 6 Option trading 6 Optionsgeschäft 6 Theorie 5 Theory 5 Monte Carlo simulation 4 Monte-Carlo-Simulation 4 Statistical distribution 4 Statistische Verteilung 4 stochastic volatility 4 Asset price processes 3 Bayes-Statistik 3 Bayesian inference 3 Black-Scholes model 3 Black-Scholes-Modell 3 Currency option 3 Devisenoption 3 Double exponential jump-diffusion process 3 Double exponential jumps 3 Estimation theory 3 Laplace distribution 3 Lévy process 3 Option pricing 3 Portfolio selection 3 Portfolio-Management 3 Real options 3 Real options analysis 3 Realoptionsansatz 3 Schätztheorie 3 Time series analysis 3 Zeitreihenanalyse 3 ARCH model 2
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Online availability
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Undetermined 31 Free 10
Type of publication
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Article 48 Book / Working Paper 4
Type of publication (narrower categories)
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Article in journal 26 Aufsatz in Zeitschrift 26
Language
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English 27 Undetermined 25
Author
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Kostrzewski, Maciej 3 Chen, Son-nan 2 Dhingra, Neerja 2 Ishitani, Kensuke 2 Kozubowski, Tomasz 2 Kumar, Gulshan 2 Luo, Pengfei 2 Sato, Kenichi 2 Wang, Yongjin 2 Xiu, Dacheng 2 Yang, Zhaojun 2 AUSLOOS, MARCEL 1 Ahlip, Rehez 1 Axtell, Robert 1 BOYARCHENKO, MITYA 1 BOYARCHENKO, SVETLANA 1 Balakrishnan, N. 1 Balasubramanian, K. 1 Bhatti, Chad 1 Bo, Lijun 1 Bobkov, S. G. 1 Bojarčenko, Svetlana I. 1 Boyarchenko, Mitya 1 Chang, Chia-Chien 1 Chen, Jun-Home 1 Chiang, Mi-Hsiu 1 Claeskens, G. 1 Dang, Duy Minh 1 Egami, Masahiko 1 Eva, Dezsi 1 FRAME, SAMUEL J. 1 Fadugba, Sunday Emmanuel 1 Fallah, Somayeh 1 Farahani, Reza Zanjirani 1 Frame, Samuel J. 1 Genç, Ali 1 Gijbels, I. 1 Govindarajulu, Z. 1 Guiso, Luigi 1 Hainaut, Donatien 1
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Institution
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Department of Economics, European University Institute 1 Graduate School of Business Administration, Kobe University 1 Graduate School of Economics, Kyoto University 1 Santa Fe Institute 1
Published in...
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Annals of the Institute of Statistical Mathematics 3 Central European journal of economic modelling and econometrics 2 Journal of mathematical finance 2 TEST: An Official Journal of the Spanish Society of Statistics and Operations Research 2 Advances in Complex Systems (ACS) 1 Annals of Faculty of Economics 1 Annals of Finance 1 Annals of Financial Economics (AFE) 1 Annals of financial economics 1 Annals of the University of Petrosani, Economics 1 Applied economics letters 1 Applied mathematical finance 1 Asia-Pacific Financial Markets 1 Asia-Pacific financial markets 1 Central European Journal of Economic Modelling and Econometrics 1 Computational Statistics 1 Discussion Papers / Graduate School of Business Administration, Kobe University 1 Discussion papers / Graduate School of Economics, Kyoto University 1 E3 Journal of Business Management and Economics. 1 Economics Working Papers / Department of Economics, European University Institute 1 Estudios de economía aplicada : revista promovida por Asepelt, Asociación de Economía Aplicada 1 European journal of operational research : EJOR 1 Finance research letters 1 IMA journal of management mathematics 1 Insurance: Mathematics and Economics 1 International Journal of Theoretical and Applied Finance (IJTAF) 1 International journal of financial engineering 1 International journal of production research 1 International journal of theoretical and applied finance 1 International review of economics & finance : IREF 1 Journal of Econometrics 1 Journal of econometrics 1 Mathematics and financial economics 1 Operations research letters : a journal of INFORMS devoted to the rapid publication of concise contributions in operations research 1 Physica A: Statistical Mechanics and its Applications 1 Quality & Quantity: International Journal of Methodology 1 Quantitative finance 1 Quantitative finance and economics 1 RAIRO / Operations research 1 Review of derivatives research 1
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Source
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ECONIS (ZBW) 26 RePEc 26
Showing 1 - 10 of 52
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Optimal venture capital entry-exit strategy with jump–diffusion risk
Zuo, Si; Wang, Haijun - 2025
Persistent link: https://www.econbiz.de/10015372572
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An option pricing model with double-exponential jumps in returns and GARCH diffusion in volatilities
Qiao, Chunhui; Wan, Xiangwei; Yang, Nian - In: Operations research letters : a journal of INFORMS … 59 (2025), pp. 1-7
Persistent link: https://www.econbiz.de/10015358884
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The Bayesian methods of jump detection : the example of gas and EUA contract prices
Kostrzewski, Maciej - In: Central European journal of economic modelling and … 11 (2019) 2, pp. 107-131
Persistent link: https://www.econbiz.de/10012294576
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Foreign exchange option pricing under regime switching with asymmetrical jumps
Lian, Yu-Min; Chen, Jun-Home - In: Finance research letters 46 (2022) 1, pp. 1-11
Persistent link: https://www.econbiz.de/10013341395
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Prediction accuracy of sales surprise for inventory turnover
Sano, Hiroki; Yamada, Kazuo - In: International journal of production research 59 (2021) 17, pp. 5337-5351
Persistent link: https://www.econbiz.de/10012625865
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Bayesian estimation of the stochastic volatility model with double exponential jumps
Li, Jinzhi - In: Review of derivatives research 24 (2021) 2, pp. 157-172
Persistent link: https://www.econbiz.de/10012549106
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Continuous mixed-laplace jump diffusion models for stocks and commodities
Hainaut, Donatien - In: Quantitative finance and economics 1 (2017) 2, pp. 145-173
Persistent link: https://www.econbiz.de/10012137762
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Estimating the trend in US real GDP using the l1 trend filtering
Yamada, Hiroshi - In: Applied economics letters 24 (2017) 10/12, pp. 713-716
Persistent link: https://www.econbiz.de/10011714160
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A dimension and variance reduction Monte-Carlo method for option pricing under jump-diffusion models
Dang, Duy Minh; Jackson, Kenneth R.; Sues, Scott - In: Applied mathematical finance 24 (2017) 3/4, pp. 175-215
Persistent link: https://www.econbiz.de/10011815225
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Detecting Propagation Effects by Observing Aggregate Distributions: The Case of Lumpy Investments
Guiso, Luigi; Lai, Chaoqun; Nirei, Makoto - Department of Economics, European University Institute - 2011
lumpy investment follows a non-normal, double-exponential distribution across region-year. We propose a simple sectoral … model that generates the double-exponential distribution that arises from the complementarity of the firms' lumpy …-level data. Simulations show that the degree of complementarity estimated at the firm level is consistent with the double-exponential …
Persistent link: https://www.econbiz.de/10009653947
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