Search Results - subject:"double-exponential jump-diffusion"

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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

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

On the probability of default in a market with price clustering and jump risk

Song, Shiyu; Wang, Yongjin; Xu, Guangli - In: Mathematics and financial economics 14 (2020) 2, pp. 225-247

Persistent link: https://www.econbiz.de/10012240142

Bayesian DEJD Model and Detection of Asymmetry in Jump Sizes

Kostrzewski, Maciej - In: Central European Journal of Economic Modelling and … 7 (2015) 1, pp. 43-70

exponential jump-diffusion model is proposed. Theorems stated in the paper enable estimation of the model’s parameters, detection …. In the research, a double exponential jump distribution is applied to model downward and upward jumps. Bayesian double …

Persistent link: https://www.econbiz.de/10011265621

Real options under a double exponential jump-diffusion model with regime switching and partial information

Luo, Pengfei; Xiong, Jie; Yang, Jinqiang; Yang, Zhaojun - In: Quantitative finance 19 (2019) 6, pp. 1061-1073

Persistent link: https://www.econbiz.de/10012194743

Pricing and hedging barrier options under a Markov-modulated double exponential jump diffusion-CIR model

Chen, Son-nan; Hsu, Pao-Peng - In: International review of economics & finance : IREF 56 (2018), pp. 330-346

Persistent link: https://www.econbiz.de/10012033703

DOUBLE BARRIER OPTIONS IN REGIME-SWITCHING HYPER-EXPONENTIAL JUMP-DIFFUSION MODELS

BOYARCHENKO, MITYA; BOYARCHENKO, SVETLANA - In: International Journal of Theoretical and Applied … 14 (2011) 07, pp. 1005-1043

double-exponential jump-diffusion model pioneered by Kou and Lipton. Numerical tests demonstrate an excellent agreement of …

Persistent link: https://www.econbiz.de/10009393848

Double barrier options in regime-switching hyper-exponential jump-diffusion models

Boyarchenko, Mitya; Bojarčenko, Svetlana I. - In: International journal of theoretical and applied finance 14 (2011) 7, pp. 1005-1043

Persistent link: https://www.econbiz.de/10009407678

Investment and financing for SMEs with a partial guarantee and jump risk

Luo, Pengfei; Wang, Huamao; Yang, Zhaojun - In: European journal of operational research : EJOR 249 (2016) 3, pp. 1161-1168

Persistent link: https://www.econbiz.de/10011439328

Pricing currency options under double exponential jump diffusion in a Markov-modulated HJM economy

Chiang, Mi-Hsiu; Li, Chang-Yi; Chen, Son-nan - In: Review of quantitative finance and accounting 46 (2016) 3, pp. 459-482

Persistent link: https://www.econbiz.de/10011595469

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