„Jump diffusion“
Suchergebnisse
382 Treffer
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Nonlocal Convection-Diffusion Problems on Bounded Domains and Finite-Range Jump Processes
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A Fitted Finite-Volume Method Combined with the Lagrangian Derivative for the Weather Option Pricing Model
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Pricing European option under the generalized fractional jump-diffusion model
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Exploring non-analytical affine jump-diffusion models for path-dependent interest rate derivatives
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Valuations of Variance and Volatility Swaps Under Double Heston Jump-Diffusion Model With Approximative Fractional Stochastic Volatility
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Maximum Principle for Stochastic Control System with Elephant Memory and Jump Diffusion
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Itô-Taylor Expansion Method of European Spread Option Pricing for Multivariate Diffusions with Jumps
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Forward Backward SDEs Systems for Utility Maximization in Jump Diffusion Models
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Transition of Multidimensional Jumplike Processes from Anomalous Diffusion to Linear Diffusion
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A Class of Jump-Diffusion Bond Pricing Models within the HJM Framework
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Dynamic Control of the Investment Portfolio in the Jump-Diffusion Financial Market with Regime Switching
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A Fuzzy Jump-Diffusion Option Pricing Model Based on the Merton Formula
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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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Modeling market risk in a jump diffusion setting
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Integro-differential operators associated with diffusion processes with jumps
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Hybrid master equation for jump-diffusion approximation of biomolecular reaction networks
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The relation between the isotope effect for diffusion and the correlation factor in systems lacking a two‐fold symmetry around the tracer jump vector
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Diffusion on two-dimensional percolation clusters with multifractal jump probabilities
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Invariant manifolds with boundary for jump-diffusions