Results 1 to 10 of about 15,069 (165)
An empirical study on asymmetric jump diffusion for option and annuity pricing. [PDF]
PLoS ONE, 2019 In this paper, we present a method to estimate the market parameters modelled by an asymmetric jump diffusion process. The method proposed is based on Kou's jump diffusion model while the market parameters refer to the market drift, the market volatility,
Kein Joe Lau +2 more
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Datasets for testing the performances of jump diffusion models [PDF]
Data in Brief, 2017 This article contains datasets related to the research article titled a novel jump diffusion model based on SGT distribution and its applications (”A novel jump diffusion model based on SGT distribution and its applications” (W.J. Xu, G.F. Liu, H.Y.
Weijun Xu, Guifang Liu, Hongyi Li
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Finite difference method for basket option pricing under Merton model [PDF]
Mathematics and Modeling in Finance, 2021 In financial markets , dynamics of underlying assets are often specified via stochasticdifferential equations of jump - diffusion type . In this paper , we suppose that two financialassets evolved by correlated Brownian motion . The value of a contingent
Parisa Karami, Ali Safdari
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Scientific African, 2021 We examine empirically, the suitability of three stock price models viz: geometric Brownian motion, symmetric and asymmetric jump-diffusion models, on the empirical log-returns of the Nigerian All-Share Index.
Mabel E. Adeosun, Olabisi O. Ugbebor
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Journal of Statistical Software, 2023 We introduce a Python library, called jumpdiff, which includes all necessary functions to assess jump-diffusion processes. This library includes functions which compute a set of non-parametric estimators of all contributions composing a jump-diffusion ...
Leonardo Rydin Gorjão +2 more
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Degradation Modeling for Lithium-Ion Batteries with an Exponential Jump-Diffusion Model
Mathematics, 2022 The degradation of Lithium-ion batteries is usually measured by capacity loss. When batteries deteriorate with usage, the capacities would generally have a declining trend.
Weijie Liu, Yan Shen, Lijuan Shen
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Polynomial Jump-Diffusion Models [PDF]
Stochastic Systems, 2017 We develop a comprehensive mathematical framework for polynomial jump diffusions in a semimartingale context, which nest affine jump diffusions and have broad applications in finance. We show that the polynomial property is preserved under polynomial transformations and Lévy time change.
Damir Filipović, Martin Larsson
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Dynamic portfolio choice with uncertain rare-events risk in stock and cryptocurrency markets
Financial Innovation, 2023 In response to the unprecedented uncertain rare events of the last decade, we derive an optimal portfolio choice problem in a semi-closed form by integrating price diffusion ambiguity, volatility diffusion ambiguity, and jump ambiguity occurring in the ...
Wujun Lv +3 more
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Entropy, 2023 The paper is dedicated to modeling electricity spot prices and pricing forward contracts on energy markets. The underlying dynamics of electricity spot prices is governed by a stochastic mean reverting diffusion with jumps having mixed-exponential ...
Piotr Nowak, Michał Pawłowski
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Pricing European-Style Options in General Lévy Process with Stochastic Interest Rate
Mathematics, 2020 This paper extends the traditional jump-diffusion model to a comprehensive general Lévy process model with the stochastic interest rate for European-style options pricing.
Xiaoyu Tan, Shenghong Li, Shuyi Wang
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