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  • Search: subject:"hyper-exponential jump-diffusion"
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Year of publication
Subject
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Option pricing theory 7 Optionspreistheorie 7 Stochastic process 7 Stochastischer Prozess 7 Option trading 5 Optionsgeschäft 5 Volatility 3 Volatilität 3 hyper-exponential jump diffusion 3 American options 2 Canadization 2 Carr's randomization 2 Credit default 2 Hyper-exponential jump diffusion process 2 Hyper-exponential jump-diffusion model 2 Kou's model 2 Laplace transform 2 Lévy process 2 Option pricing 2 Refracted Lévy process 2 State-dependent fee 2 Variable annuities 2 Wiener-Hopf factorization 2 analytic method of lines 2 credit default swap 2 double barrier options 2 double-exponential jump-diffusion 2 double-no-touch options 2 entropy-based calibration 2 foreign exchange 2 hyper-exponential jump-diffusion 2 regime switching 2 spectrally negative Kou process 2 stochastic interest rate 2 stochastic volatility 2 structural model 2 Black-Scholes model 1 Black-Scholes-Modell 1 Charges 1 Credit derivative 1
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Online availability
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Undetermined 6
Type of publication
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Article 9 Book / Working Paper 1
Type of publication (narrower categories)
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Article in journal 6 Aufsatz in Zeitschrift 6 Arbeitspapier 1 Graue Literatur 1 Non-commercial literature 1 Working Paper 1
Language
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English 7 Undetermined 3
Author
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Vasiljević, Nikola 3 Leippold, Markus 2 Wu, Lan 2 Zhou, Jiang 2 BOYARCHENKO, MITYA 1 BOYARCHENKO, SVETLANA 1 Bojarčenko, Svetlana I. 1 Boyarchenko, Mitya 1 Chesney, Marc 1 HELLMICH, MARTIN 1 Hellmich, Martin 1 Hofer, Markus 1 KASSBERGER, STEFAN 1 Kassberger, Stefan 1 Mayer, Philipp 1 SCHMIDT, WOLFGANG M. 1 Schmidt, Wolfgang M. 1
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Published in...
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International Journal of Theoretical and Applied Finance (IJTAF) 2 International journal of theoretical and applied finance 2 Applied mathematical finance 1 Insurance / Mathematics & economics 1 Insurance: Mathematics and Economics 1 Journal of banking & finance 1 Quantitative finance 1 Research paper series / Swiss Finance Institute 1 Swiss Finance Institute Research Paper 1
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Source
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ECONIS (ZBW) 7 RePEc 3
Showing 1 - 10 of 10
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Parisian options with jumps : a maturity-excursion randomization approach
Chesney, Marc; Vasiljević, Nikola - In: Quantitative finance 18 (2018) 11, pp. 1887-1908
Persistent link: https://www.econbiz.de/10012262861
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Pricing and disentanglement of American puts in the hyper-exponential jump-diffusion model
Leippold, Markus; Vasiljević, Nikola - In: Journal of banking & finance 77 (2017), pp. 78-94
Persistent link: https://www.econbiz.de/10011814354
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The time of deducting fees for variable annuities under the state-dependent fee structure
Zhou, Jiang; Wu, Lan - In: Insurance: Mathematics and Economics 61 (2015) C, pp. 125-134
We investigate the total time of deducting fees for variable annuities with state-dependent fee. This fee charging method is studied recently by Bernard et al. (2014) and Delong (2014) in which the fees deducted from the policyholder’s account depend on the account value. However, both of them...
Persistent link: https://www.econbiz.de/10011263845
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The time of deducting fees for variable annuities under the state-dependent fee structure
Zhou, Jiang; Wu, Lan - In: Insurance / Mathematics & economics 61 (2015), pp. 125-134
Persistent link: https://www.econbiz.de/10010515907
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Pricing and disentanglement of American puts in the hyper-exponential jump-diffusion model
Leippold, Markus; Vasiljević, Nikola - 2015
We analyze American put options in a hyper-exponential jump-diffusion model. Our contribution is threefold. Firstly, by …
Persistent link: https://www.econbiz.de/10011293508
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CREDIT MODELING UNDER JUMP DIFFUSIONS WITH EXPONENTIALLY DISTRIBUTED JUMPS — STABLE CALIBRATION, DYNAMICS AND GAP RISK
HELLMICH, MARTIN; KASSBERGER, STEFAN; SCHMIDT, WOLFGANG M. - In: International Journal of Theoretical and Applied … 16 (2013) 04, pp. 1350021-1
This paper investigates a structural credit default model that is based on a hyper-exponential jump diffusion process …
Persistent link: https://www.econbiz.de/10011011291
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Pricing and hedging of lookback options in hyper-exponential jump diffusion models
Hofer, Markus; Mayer, Philipp - In: Applied mathematical finance 20 (2013) 5/6, pp. 489-511
Persistent link: https://www.econbiz.de/10010235585
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Credit modeling under jump diffusions with exponentially distributed jumps : stable calibration, dynamics and GAP risk
Hellmich, Martin; Kassberger, Stefan; Schmidt, Wolfgang M. - In: International journal of theoretical and applied finance 16 (2013) 4, pp. 1-26
Persistent link: https://www.econbiz.de/10009779752
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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
arbitrary terminal payoff functions under regime-switching hyper-exponential jump-diffusion (HEJD) models, which generalize the …
Persistent link: https://www.econbiz.de/10009393848
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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
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