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Terminal Invariance of Jump Diffusions
Doklady Mathematics, 2020zbMATH Open Web Interface contents unavailable due to conflicting licenses.
Khrustalev, M. M., Tsarkov, K. A.
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Exact Sampling of Jump-Diffusions
SSRN Electronic Journal, 2011This paper develops a method for the exact simulation of a skeleton, a hitting time, and other functionals of a one-dimensional jump diffusion with state-dependent drift, volatility, jump intensity, and jump size. The method requires the drift function to be C1, the volatility function to be C2, and the jump intensity function to be locally bounded ...
Kay Giesecke, Dmitry Smelov
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A PDE Approach to Jump-Diffusions
SSRN Electronic Journal, 2010In this paper, we show that the calibration to an implied volatility surface and the pricing of contingent claims can be as simple in a jump-diffusion framework as in a diffusion one. Indeed, after defining the jump densities as those of diffusions sampled at independent and exponentially distributed random times, we show that the forward and backward ...
Peter Carr, Laurent Cousot
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2019
Market prices of financial assets often show jumps caused by unpredictable events or news. The market closing-opening is also a source of price jumps. The pure Brownian motion based diffusion models do not admit large asset price move in a short period of time. Adding jumps to diffusion can show skewed distributions with fat tail which are difficult to
Raymond H. Chan +3 more
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Market prices of financial assets often show jumps caused by unpredictable events or news. The market closing-opening is also a source of price jumps. The pure Brownian motion based diffusion models do not admit large asset price move in a short period of time. Adding jumps to diffusion can show skewed distributions with fat tail which are difficult to
Raymond H. Chan +3 more
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AVERAGE OPTIONS FOR JUMP DIFFUSION MODELS
Asia-Pacific Journal of Operational Research, 2010In this paper, we study the problem of pricing average strike options in the case where the price processes are jump diffusion processes. As to the striking value we take the geometric average of the price process. Two cases are studied in details: One is the case where the jumping law of the price process is subject to a Gaussian distribution called ...
HIROSHI KUNITA, TAKUYA YAMADA
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Optimal liquidation with jump-diffusion process
International Journal of Applied Decision Sciences, 2021Under the assumption of the asset prices obey jump-diffusion process, static optimal liquidation strategies and efficient frontier are provided based on the mean-variance criterion and the minimum loss probability criterion separately. Furthermore, this paper analysed the impact of price jump component on optimal liquidation strategy.
Qixuan Luo, Can Jia, Handong Li
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Nonparametric estimation of jump diffusion models
Journal of Econometrics, 2021zbMATH Open Web Interface contents unavailable due to conflicting licenses.
Park, Joon Y., Wang, Bin
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Stability of Regime-Switching Jump Diffusions
SIAM Journal on Control and Optimization, 2010Summary: This work is concerned with the stability of a class of switching jump-diffusion processes. The processes under consideration can be thought of as a number of jump-diffusion processes modulated by a random switching device. The motivation of our study stems from a wide range of applications in communication systems, flexible manufacturing and ...
Gang George Yin, Fubao Xi
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Jump-diffusion processes in tracking/recognition
IEEE Transactions on Signal Processing, 1998Advances in sensor technology permit more sophisticated tracking/identification algorithms to be implemented. This correspondence compares and contrasts the modeling framework employed in two recent image-enhanced trackers and generalizes one of them (the PME) for use in target identification.
David D. Sworder, John E. Boyd
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Unbiased Simulation Estimators for Jump-Diffusions
2019 Winter Simulation Conference (WSC), 2019We develop and analyze an unbiased Monte Carlo estimator for a functional of a one-dimensional jump-diffusion process with a state-dependent drift, volatility, jump intensity and jump size. The approach combines a change of measure to sample the jumps with the parametrix method to simulate the diffusions.
Guanting Chen 0001 +2 more
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