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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
Jump diffusion
79
Option trading
71
Optionsgeschäft
71
Portfolio selection
70
Portfolio-Management
70
jump diffusion
67
jump-diffusion
54
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
33
Free
11
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Article
45
Book / Working Paper
6
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Article in journal
28
Aufsatz in Zeitschrift
28
Thesis
1
research-article
1
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English
34
Undetermined
17
Author
All
Benth, Fred Espen
2
Bo, Lijun
2
Boloorforoosh, Ali
2
Brigo, Damiano
2
Crosby, John
2
El-Bachir, Naoufel
2
Jessen, Cathrine
2
Kiesel, Rüdiger
2
Koussis, Nicos
2
Lando, David
2
Le Courtois, Olivier
2
Nazarova, Anna
2
Perrakis, Stylianos
2
Quittard-Pinon, François
2
Singh, Vipul Kumar
2
Su, Xiaoshan
2
Trigeorgis, Lenos
2
Abbasi, Wajih
1
Amonov, Kholnazar
1
Ardia, David
1
Berestycki, J.
1
Bosserhoff, Frank
1
Carr, Peter
1
Castellano, Rosella
1
Cerqueti, Roy
1
Chan, K. F.
1
Chen, Dachuan
1
Chen, Ting-fu
1
Chen, Yu-Ting
1
Chiarella, Carl
1
Christensen, Bent Jesper
1
Corradi, Valentina
1
Correia Fernandes, Mário
1
Costantini, Cristina
1
Courtois, Olivier Le
1
Dennis, Patrick
1
Dias, José Carlos
1
Distaso, Walter
1
Dong, Linjia
1
Döring, L.
1
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Henley Business School, University of Reading
2
European Association of Agricultural Economists - EAAE
1
Royal Economic Society - RES
1
Volkswirtschaftliche Fakultät, Ludwig-Maximilians-Universität München
1
Published in...
All
Insurance / Mathematics & economics
4
Journal of banking & finance
4
Finance and Stochastics
3
Journal of Banking & Finance
3
Annals of Economics and Finance
2
Energy economics
2
ICMA Centre Discussion Papers in Finance
2
Journal of econometrics
2
Operations research letters
2
2002 International Congress, August 28-31, 2002, Zaragoza, Spain
1
Asia Pacific financial markets
1
Asia-Pacific Financial Markets
1
Asia-Pacific journal of financial studies
1
Computational Economics
1
Computational economics
1
Decisions in economics and finance : a journal of applied mathematics
1
Economic modelling
1
Energy Economics
1
European journal of operational research : EJOR
1
Financial markets and portfolio management
1
International journal of economics and financial issues : IJEFI
1
Journal of Econometrics
1
Journal of economic dynamics & control
1
Journal of financial economics
1
MPRA Paper
1
Mathematics and financial economics
1
Quantitative Finance
1
Quantitative finance
1
Review of Derivatives Research
1
Royal Economic Society Annual Conference 2003
1
Stochastic Processes and their Applications
1
Studies in Economics and Finance
1
Studies in economics and finance
1
The North American journal of economics and finance : a journal of financial economics studies
1
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ECONIS (ZBW)
28
RePEc
20
BASE
2
Other ZBW resources
1
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1
Bitcoin : jumps, convenience yields, and option prices
Hilliard, Jimmy E.
;
Ngo, Julie T. D.
- In:
Quantitative finance
22
(
2022
)
11
,
pp. 2079-2091
Persistent link: https://www.econbiz.de/10013490923
Saved in:
2
An Algorithm for the pricing and timing of the option to make a two-stage investment with credit guarantees
Dong, Linjia
;
Yang, Zhaojun
- In:
Computational economics
60
(
2022
)
3
,
pp. 1175-1196
Persistent link: https://www.econbiz.de/10013380893
Saved in:
3
Jumps in commodity prices : new approaches for pricing plain vanilla options
Crosby, John
;
Frau, Carme
- In:
Energy economics
114
(
2022
),
pp. 1-22
Persistent link: https://www.econbiz.de/10013477538
Saved in:
4
Consistent pricing of VIX options with the Hawkes
jump-diffusion
model
Jing, Bo
;
Li, Shenghong
;
Ma, Yong
- In:
The North American journal of economics and finance : a …
56
(
2021
),
pp. 1-13
Persistent link: https://www.econbiz.de/10012821987
Saved in:
5
Time-consistent mean-variance investment with unit linked life insurance contracts in a
jump-diffusion
setting
Bosserhoff, Frank
;
Stadje, Mitja
- In:
Insurance / Mathematics & economics
100
(
2021
),
pp. 130-146
Persistent link: https://www.econbiz.de/10012622385
Saved in:
6
Optimal control of investment, premium and deductible for a non-life insurance company
Christensen, Bent Jesper
;
Parra-Alvarez, Juan Carlos
; …
- In:
Insurance / Mathematics & economics
101
(
2021
)
2
,
pp. 384-405
Persistent link: https://www.econbiz.de/10012793933
Saved in:
7
Mean-variance investment and risk control strategies : a time-consistent approach via a forward auxiliary process
Shen, Yang
;
Zou, Bin
- In:
Insurance / Mathematics & economics
97
(
2021
),
pp. 68-80
Persistent link: https://www.econbiz.de/10012491963
Saved in:
8
Modeling energy prices under energy transition : a novel stochastic-copula approach
Correia Fernandes, Mário
;
Dias, José Carlos
;
Nunes, …
- In:
Economic modelling
105
(
2021
),
pp. 1-12
Persistent link: https://www.econbiz.de/10013367312
Saved in:
9
Quantile hedging in models with dividends and application to equity-linked life insurance contracts
Glazyrina, Anna
;
Melʹnikov, Aleksandr V.
- In:
Mathematics and financial economics
14
(
2020
)
2
,
pp. 207-224
Persistent link: https://www.econbiz.de/10012240110
Saved in:
10
Time-consistent mean-variance asset-liability management in a regime-switching
jump-diffusion
market
Yang, Yu
;
Wu, Yonghong
;
Wiwatanapataphee, Benchawan
- In:
Financial markets and portfolio management
34
(
2020
)
4
,
pp. 401-427
Persistent link: https://www.econbiz.de/10012309913
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