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Exact simulation of gamma-driven Ornstein-Uhlenbeck processes with finite and infinite activity jumps
Qu, Yan; Dassios, Angelos; Zhao, Hongbiao - In: Journal of the Operational Research Society 72 (2021) 2, pp. 471-484
Persistent link: https://www.econbiz.de/10012500958
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Sequential learning of cryptocurrency volatility dynamics : evidence based on a stochastic volatility model with jumps in returns and volatility
Huang, Jing-Zhi; Huang, Zhijian; Xu, Li - In: The quarterly journal of finance 11 (2021) 2, pp. 1-37
Persistent link: https://www.econbiz.de/10012649885
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A parameter based approach to single factor stochastic process selection for real options applications
Bastian-Pinto, Carlos de Lamare; Brandão, Luiz Eduardo … - In: The European journal of finance 27 (2021) 15, pp. 1533-1552
Persistent link: https://www.econbiz.de/10012653114
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Impact of volatility jumps in a mean-reverting model : derivative pricing and empirical evidence
Chiu, Hsin-Yu; Chen, Ting-Fu - In: The North American journal of economics and finance : a … 52 (2020), pp. 1-22
Persistent link: https://www.econbiz.de/10012656907
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Gaussian clustering and jump-diffusion models of electricity prices : a deep learning analysis
Mari, Carlo; Mari, Emiliano - In: Decisions in economics and finance : a journal of … 44 (2021) 2, pp. 1039-1062
Persistent link: https://www.econbiz.de/10012795108
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A Markov chain approximation scheme for option pricing under skew diffusions
Ding, Kailin; Cui, Zhenyu; Wang, Yongjin - In: Quantitative finance 21 (2021) 3, pp. 461-480
Persistent link: https://www.econbiz.de/10012483834
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Bitcoin option pricing with a SETAR-GARCH model
Siu, Tak Kuen; Elliott, Robert J. - In: The European journal of finance 27 (2021) 6, pp. 564-595
Persistent link: https://www.econbiz.de/10012484403
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Option pricing under regime switching : integration over simplexes method
Jang, Bong-Gyu; Tae, Hyeon-Wuk - In: Finance research letters 24 (2018), pp. 301-312
Persistent link: https://www.econbiz.de/10011982658
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On a monotone dynamic approach to optimal stopping problems for continuous-time Markov chains
Miclo, Laurent; Villeneuve, Stéphane - 2019
Persistent link: https://www.econbiz.de/10012181506
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Regime classification and stock loan valuation
Cai, Ning; Zhang, Wei - In: Operations research 68 (2020) 4, pp. 965-983
Persistent link: https://www.econbiz.de/10012288340