„Jump-diffusion models“
Suchergebnisse
67 Treffer
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A splitting strategy for the calibration of jump-diffusion models
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Efficient Asian option pricing under regime switching jump diffusions and stochastic volatility models
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PMCMC for Term Structure of Interest Rates under Markov Regime Switching and Jumps
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Implicit–explicit high-order methods for pricing options under Merton’s jump-diffusion models
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A note on strochastic optimal control of reflected diffusions with jumps
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Consistency conditions for affine term structure models – II. Option pricing under diffusions with embdded jumps
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Howard’s algorithm for high-order approximations of American options under jump-diffusion models
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Self-diffusion in simple models: Systems with long-range jumps
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Structural credit risk models with stochastic default barriers and jump clustering using Hawkes jump-diffusion processes
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Exploring non-analytical affine jump-diffusion models for path-dependent interest rate derivatives
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Forward Backward SDEs Systems for Utility Maximization in Jump Diffusion Models
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A Class of Jump-Diffusion Bond Pricing Models within the HJM Framework
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Implicit-explicit Runge–Kutta methods for pricing financial derivatives in state-dependent regime-switching jump-diffusion models
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Pricing and hedging under high-dimensional jump-diffusion models using partial differential equations
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Pricing Equity Index Annuities with Surrender Options in Four Models
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Gaussian clustering and jump-diffusion models of electricity prices: a deep learning analysis
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Pricing Exotic Option Under Jump-Diffusion Models by the Quadrature Method
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Statistical Arbitrage with Mean-Reverting Overnight Price Gaps on High-Frequency Data of the S&P 500
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Backward reachability approach to state-constrained stochastic optimal control problem for jump-diffusion models
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Second-order convergent IMEX scheme for integro-differential equations with delays arising in option pricing under hard-to-borrow jump-diffusion models