jump diffusion
Convertible bond valuation in a jump diffusion setting with stochastic interest rates
... a jump diffusion model for the firm value with correlated stochastic interest rates, hence comprising four risk factors: the Brownian motion governing the diffusion part of the firm value, the ...
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Pricing Options in Jump Diffusion Models Using Mellin Transforms
... first jump diffusion process for modeling the behavior of stock ...work jump diffusions have be- come a very popular tool in modeling equity, foreign exchange and commodity ...non-pure jump ...
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Game Russian Options for Double Exponential Jump Diffusion Processes
... Kyprianou [5] derived the closed-form solution in the case where the dividend rate is zero. Suzuki and Sawaki [6] gave the pricing formula with positive dividend. Kou and Wang [7] presented the closed-form for the value ...
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On Optimal Sparse Control Problems Governed by Jump Diffusion Processes
... (PIDEs) naturally arise; see [1] [4] and references therein. In the present paper, we fo- cus on a stochastic jump-diffusion (JD) process, whose jump component is given by a compound Poisson process ...
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Pricing of Commodity Futures Contract by Using of Spot Price Jump-Diffusion Process
... with jump in stochastic variables such as spot prices were ...with jump in a few cases. These models are known as jump-diffusion ...of diffusion refers to the continuous trend of price ...
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Exact Simulation of Jump Diffusion Processes with Monte Carlo Applications
... under the usual conditions C.0-C.3. This is a very relevant computational problem in financial applications. For instance we can think of ν as the price of a bond with unit face value and maturity time T under a ...
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Option pricing under risk-exogenous measures in a fractional jump diffusion market
... Abstract In this paper we introduce the so-called risk-exogenous measure and study the price of exogenous risks based on a fractional jump-diffusion financial market model. The option price equation ...
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Optimal Portfolio Choice in a Jump Diffusion Model with Self Exciting
... Empirical studies suggest that asset price encounters jumps and its volatility is stochastic. Further studies show that jumps occur in clusters, that is, a sequence of jumps occur in short time following a (big) ...
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Realized Range-based Threshold Estimation for Jump-diffusion Models
... T HE volatility of asset price plays a central role in both the theoretical and empirical finance literature (see [1], [2], [3], among others). It is one of the most important deter- minants of market decision, such as ...
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The Impact of Utility Functions on The Equilibrium Equity Premium In A Production Economy With Jump Diffusion
... with jump diffusion under an arbitrary jump ...with jump diffusion under an arbitrary jump size if one is to consume exponentially or quadratically from an accumulating wealth ...
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Pricing in electricity markets: a mean reverting jump diffusion model with seasonality
... When modelling the electricity market two distinct approaches may be taken: mod- elling the spot market or modelling the entire forward curve. As mentioned earlier, one of the appeals for using spot models relies on the ...
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Range-Based Threshold Spot Volatility Estimation for Jump Diffusion Models
... for jump diffusion models so ...a jump-robust inference about the diffusion volatility with high frequency data and reflected their estimators’ significant ...
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VaR Optimal Risk Management in Regime Switching Jump Diffusion Models
... We report some numerical results about the valuation of the optimal hedging strategy in the regime-switching jump-diffusion framework. An extended set of results can be found in [17]. All numerical ...
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Jump Diffusion Calibration using Differential Evolution
... Jump-diffusion models are continuous-time stochastic processes introduced in quantitative fi- nance by Merton (1976), extending the work on option pricing by Black and Scholes (1973). These models are used ...
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Integro Differential Equations for a Jump Diffusion Risk Process with Dependence between Claim Sizes and Claim Intervals
... In this paper, we consider a jump-diffusion risk process compounded by a geometric Brownian motion with dependence between claim sizes and claim intervals. We derive the integro-differential equations for ...
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On the calculation of price sensitivities with jump diffusion structure
... pure jump markets, in [KP04] the Poisson noise coming from the jump times is used, while in [BBM07] the authors differentiate with respect to both the jump times and the amplitude of the ...For ...
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Currency Derivatives Pricing for Markov Modulated Merton Jump Diffusion Spot Forex Rate
... Merton jump-diffusion ...Merton jump-diffusion process are de- rived; using the values of these parameters we proceed to a risk-neural measure and provide new formulas for the distribution of ...
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Derivatives pricing in a Markov chain jump diffusion setting
... There are many models which can be used to describe the behaviour of the short rate. Some of these models may allow an exact fit to the initial term structure or possess more preferable term structures than others. The ...
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Stochastic Target Problem With Jump Diffusion.
... In (14), the term y is an abuse of notation; it indicates a known vector instead of an unknown variable. Similarly, u is not an element in (14); Instead, it represents a vector and needs to be determined. Equation (14) ...
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Is the Jump Diffusion Model a Good Solution for Credit Risk Modeling? The Case of Convertible Bonds
... The jump-diffusion model was first proposed in the context of market risk, which naturally exhibits high skewness and leptokurtosis levels and captures the so-called implied volatility smile or skew ...The ...
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