stochastic jump-diffusion process
Stochastic Target Problem With Jump Diffusion.
... pure diffusion process to describe the uncertainty of stock ...The jump term should present uncertainties in both time and ...the jump term is finite, so the Levy process can be ...
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Option pricing under the double exponential jump‐diffusion model with stochastic volatility and interest rate
... However, some models that have been constructed to determine option prices do not simultaneously incorporate an SIR, SV, and double exponential jumps and, therefore, do not fully capture the leptokurtic features of asset ...
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Estimation of Jump-Diffusion Process vis Empirical Characteristic Function
... affine jump- diffusion processes using the joint unconditional empirical characteristic function, for which we also provide the analytical ...a process with unobservable state variables avoiding the ...
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Parameter estimation for the drift of a time-inhomogeneous jump diffusion process
... time-continuous stochastic processes, parameter estimators that are based on the observation of the entire time-continuous path are natural objects to study: These estimators have often a closed-form ...
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The Evaluation of American Option Prices Under Stochastic Volatility and Jump-Diffusion Dynamics Using the Method of Lines
... both stochastic volatility following the square root process of Heston (1993), and by a Poisson jump process of the type originally introduced by Merton ...of jump-diffusion dy- ...
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Jump-Diffusion Option Valuation Without a Representative Investor: a Stochastic Dominance Approach
... return process introduced in section 2 in order to derive the two martingale probabilities defining the upper and lower bounds of admissible option prices in discrete ...simple diffusion case and then for ...
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Convertible bond valuation in a jump diffusion setting with stochastic interest rates
... Vaˇs´ıˇcek model assuming correlation coefficient ρ = 0.2 between the Brownian motions driving the interest rate process and the continuous part of the firm value process. In Table 4, we also report the CB ...
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First-Passage Time Models with a Stochastic Time Change in Credit Risk
... Following on the heels of these asset price models, it is natural to extend structural credit models by using a time-changed geometric Brownian motion and other jump-diffusion process[r] ...
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Sufficient stochastic maximum principle for the optimal control of semi Markov modulated jump diffusion with application to financial optimization
... of stochastic maximum principle and its application to finance has been credited to Cadenillas and Karatzas ...the stochastic maximum principle for jump-diffusion process and applied it ...
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Essays on Portfolio Optimization, Simulation and Option Pricing
... models: stochastic volatility model, jump diffusion model and stochas- tic volatility with concurrent jumps in the stock price and the variance process ...
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Option pricing under the double exponential jump‐diffusion model with stochastic volatility and interest rate
... However, some models that have been constructed to determine option prices do not simultaneously incorporate an SIR, SV, and double exponential jumps and, therefore, do not fully capture the leptokurtic features of asset ...
40
Pricing of Commodity Futures Contract by Using of Spot Price Jump-Diffusion Process
... price jump has been ...using jump-diffusion processes and stochastic jump in spot ...uniform jump is suitable to explain the crude oil spot price behavior and its futures ...
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Journal of Mathematical Sciences and Applications
... surplus process followed a jump- diffusion process where the insurer could purchase proportional reinsurance from the reinsurer via the variance principle and invest in a risk-free asset and a ...
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Valuation of spread options using the fast Fourier transform under stochastic volatility and jump diffusion models
... include stochastic volatility. This is done by introducing a stochastic process representing the volatility and in turn letting the volatility of the underlying indexes depend on this ...The ...
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A Hull and White formula for a general stochastic volatility jump-diffusion model with applications to the study of the short-time behavior of the implied volatility
... the stochastic volatility does not follows a concrete equation, is ...volatility process independent of price jumps (as in the Bates case) the at-the-money skew slope behaviour at the expiry date is closely ...
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Jumps diffusion and jump risk pricing
... aggregate jump risk in option ...(1993) stochastic volatility model by incorporating ...of jump risk in explaining the cross-section of expected stock ...
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A Structural Model with Jump Diffusion Processes.
... underlying process follows a geometric Brownian motion with constant parameters as in the Black Scholes ...underlying process, using the stochastic volatility or interest rate, or even introduc- ing ...
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Contrast function estimation for the drift parameter of ergodic jump diffusion process
... observed stochastic pro- cesses comes from the lack of explicit expression for the ...a jump-diffusion process is usually unknown ...of jump-diffusions is studied in (Aït-Sahalia & ...
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Implied Calibration of Stochastic Volatility Jump Diffusion Models
... pure stochastic volatility framework, the role of coefficients a(t), α(t) and ρ(t) is indeed well established (Hagan et ...the process and (just like a(t)) it impacts the global level of the ...
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A Stochastic Approach for Determining Profit Rate of Islamic Financing Products
... nonstationary. Stochastic forecasting is suitable to forecast a volatile and nonstationary ...using stochastic forecasting. There are several models in the stochastic forecasting which are a random ...
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