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~subject:"Jump diffusion"
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Jump diffusion
Optionspreistheorie
249
Option pricing theory
243
Stochastischer Prozess
234
Stochastic process
230
Volatilität
167
Volatility
166
Theorie
94
Theory
88
Option trading
71
Optionsgeschäft
71
Portfolio selection
70
Portfolio-Management
70
jump diffusion
67
jump-diffusion
54
Jump-diffusion
51
Derivat
48
Derivative
48
CAPM
46
Markov chain
44
Markov-Kette
42
Statistische Verteilung
41
Statistical distribution
40
Jump-diffusion process
37
Monte Carlo simulation
31
Option pricing
31
Börsenkurs
29
Capital income
29
Kapitaleinkommen
29
Stochastic volatility
29
Share price
28
jump-diffusion model
27
Monte-Carlo-Simulation
26
Schätzung
26
Estimation
25
option pricing
25
Risk
24
jump-diffusion process
24
stochastic volatility
24
Black-Scholes model
23
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Online availability
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Undetermined
42
Free
18
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All
Article
58
Book / Working Paper
21
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Article in journal
35
Aufsatz in Zeitschrift
35
Working Paper
5
Arbeitspapier
4
Graue Literatur
4
Non-commercial literature
4
Language
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English
51
Undetermined
25
German
3
Author
All
Söhl, Jakob
5
Dotsis, George
4
Kirkby, J. Lars
4
Nguyen, Duy
4
Chung, Shing Fung
3
Cui, Zhenyu
3
Das, Sanjiv R.
3
Mason, Charles F.
3
Uppal, Raman
3
Wong, Hoi Ying
3
Alvarez, Luis
2
Boss, Michael
2
Cai, Ning
2
Chang, Charles
2
Egami, Masahiko
2
Fuh, Cheng-Der
2
Gerber, Hans U.
2
Klisz, Chris
2
Lee, Gabriel S.
2
Makropoulou, Vasiliki
2
Markellos, Raphaēl N.
2
Psychoyios, Dimitris
2
Rakkolainen, Teppo
2
Seifert, Jan
2
Sun, Lihua
2
Uhrig-Homburg, Marliese
2
Wilmot, Neil A.
2
Xiao, Wei-Lin
2
Xu, Mingxin
2
Yang, Hailiang
2
Zhang, Li-Hua
2
Zou, Bin
2
A. Wilmot, Neil
1
Agram, Nacira
1
Albers, Sönke
1
Audrino, Francesco
1
Baek, In-Seok
1
Belomestny, Denis
1
Berreth, Andrea
1
Bhar, Ramaprasad
1
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Sonderforschungsbereich 649: Ökonomisches Risiko, Wirtschaftswissenschaftliche Fakultät
3
London School of Economics and Political Science
2
Wirtschaftswissenschaftliches Zentrum <Basel>
2
Cowles Foundation for Research in Economics, Yale University
1
Hugo Steinhaus Center for Stochastic Methods, Politechnika Wrocławska
1
Institut für Betriebswirtschaftslehre <Kiel>
1
Institut für Industrielle Informationstechnik <Karlsruhe>
1
Institut zur Zukunft der Arbeit <Bonn>
1
Institute of Finance and Accounting <London>
1
Osteuropa-Institut <München>
1
Swiss Finance Institute
1
Technische Universität <Braunschweig> / Institut für Marketing
1
Tilburg University, Center for Economic Research
1
Welsh Enterprise Institute <Pontypridd>
1
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European journal of operational research : EJOR
3
Finance research letters
3
Journal of banking & finance
3
Quantitative Finance
3
Quantitative finance
3
SFB 649 Discussion Papers
3
Computational Statistics
2
Energy economics
2
Finance and Stochastics
2
Insurance / Mathematics & economics
2
Journal of Banking & Finance
2
Journal of economic dynamics & control
2
London School of Economics and Political Science - Publications
2
Mathematical Methods of Operations Research
2
Physica A: Statistical Mechanics and its Applications
2
Review of Derivatives Research
2
Review of quantitative finance and accounting
2
The quarterly review of economics and finance : journal of the Midwest Economics Association ; journal of the Midwest Finance Association
2
Wirtschaftswissenschaftliches Zentrum <Basel> - Forschungsberichte
2
AP – Nr. 96/08
1
Annals of finance
1
Arbeiten aus dem Osteuropa-Institut München - Wirtschaftswissenschaftliche Abteilung - Working Paper
1
Asia-Pacific Financial Markets
1
Christian-Albrechts-Universität zu Kiel - Betriebswirtschaftliche Institute - Lehrstuhl für Innovation, Neue Medien und Marketing - Publikationen
1
Computational economics
1
Cowles Foundation Discussion Papers
1
Discussion Paper / Tilburg University, Center for Economic Research
1
Discussion paper / Centre for Economic Policy Research
1
Economic History Working Paper
1
Economic Modelling
1
Economic modelling
1
Energy Economics
1
FAME Research Paper Series
1
Finance and stochastics
1
HSC Research Reports
1
IFA working paper
1
IHS economics series : working paper
1
IZA Discussion Paper No. 5857
1
Institut zur Zukunft der Arbeit (IZA) - Discussion Paper
1
Insurance: Mathematics and Economics
1
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Source
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ECONIS (ZBW)
39
RePEc
29
USB Cologne (business full texts)
10
EconStor
1
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1
An efficient and provable sequential quadratic programming method for American and swing option pricing
Shen, Jinye
;
Huang, Weizhang
;
Ma, Jingtang
- In:
European journal of operational research : EJOR
316
(
2024
)
1
,
pp. 19-35
Persistent link: https://www.econbiz.de/10014566281
Saved in:
2
Pricing Asian options with stochastic convenience yield and jumps
Ewald, Christian
;
Wu, Yuexiang
;
Zhang, Aihua
- In:
Quantitative finance
23
(
2023
)
4
,
pp. 677-692
Persistent link: https://www.econbiz.de/10014304306
Saved in:
3
A financial market with singular drift and no arbitrage
Agram, Nacira
;
Øksendal, Bernt K.
- In:
Mathematics and financial economics
15
(
2021
)
3
,
pp. 477-500
Persistent link: https://www.econbiz.de/10012586178
Saved in:
4
The pricing and static hedging of multi-step double barrier options
Lee, Hangsuck
;
Ko, Bangwon
;
Lee, Minha
- In:
Finance research letters
55
(
2023
)
1
,
pp. 1-8
Persistent link: https://www.econbiz.de/10014473264
Saved in:
5
A perturbation approach to optimal investment, liability ratio, and dividend strategies
Zhuo, Jin
;
Xu, Zuo Quan
;
Zou, Bin
- In:
Scandinavian actuarial journal
2022
(
2022
)
2
,
pp. 165-188
Persistent link: https://www.econbiz.de/10012872656
Saved in:
6
Nonparametric estimation of
jump
diffusion
models
Park, Joon Y.
;
Wang, Bin
- In:
Journal of econometrics
222
(
2021
)
1,3
,
pp. 688-715
Persistent link: https://www.econbiz.de/10012619778
Saved in:
7
Efficient Asian option pricing under regime switching jump diffusions and stochastic volatility models
Kirkby, J. Lars
;
Nguyen, Duy
- In:
Annals of finance
16
(
2020
)
3
,
pp. 307-351
Persistent link: https://www.econbiz.de/10012496337
Saved in:
8
A set-valued Markov chain approach to credit default
Chen, Dianfa
;
Deng, Jun
;
Feng, Jianfen
;
Zou, Bin
- In:
Quantitative finance
20
(
2020
)
4
,
pp. 669-689
Persistent link: https://www.econbiz.de/10012194914
Saved in:
9
Media attention and Bitcoin prices
Philippas, Dionisis
;
Rjiba, Hatem
;
Guesmi, Khaled
; …
- In:
Finance research letters
30
(
2019
),
pp. 37-43
Persistent link: https://www.econbiz.de/10012420185
Saved in:
10
On long memory effects in the volatility measure of Cryptocurrencies
Phillip, Andrew
;
Chan, Jennifer
;
Peiris, Shelton
- In:
Finance research letters
28
(
2019
),
pp. 95-100
Persistent link: https://www.econbiz.de/10012388019
Saved in:
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