Results 31 to 40 of about 15,168 (264)
MathematicsJump-diffusion algorithms are applied to sampling from Bayesian posterior distributions. We consider a class of random sampling algorithms based on continuous-time jump processes.
Aaron Lanterman
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Infrequent Shocks and Rating Revenue Insurance: A Contingent Claims Approach
Journal of Agricultural and Resource Economics, 2003 Revenue insurance represents an important new risk management tool for agricultural producers. While there are many farm-level products, Group Risk Income Protection (GRIP) is an area-based alternative.
Timothy J. Richards, Mark R. Manfredo
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Stability of numerical methods for jump diffusions and Markovian switching jump diffusions
Journal of Computational and Applied Mathematics, 2015 This paper has been withdrawn by the author due to a private ...
Yang, Zhixin, Yin, G., Li, Haibo
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Finite-Time Annular Domain Stability and Stabilization of Regime-Switching Jump Diffusion System
IEEE AccessIn this paper, the finite-time annular domain stability and stabilization of regime-switching jump diffusion system are discussed. With the help of explicit solution of multi-dimensional regime-switching jump diffusion system, we give the sufficient and ...
Ran Ni, Gui-Hua Zhao
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A combined compact difference scheme for option pricing in the exponential jump-diffusion models
Advances in Difference Equations, 2019 In the present paper, starting with the Black–Scholes equations, whose solutions are the values of European options, we describe the exponential jump-diffusion model of Levy process type.
Rahman Akbari +2 more
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Molecules, 2023 Atomic diffusion by the vacancy defect of L12-Al3M (M = Sc, Zr, Er, Y) was investigated based on a first-principles calculation. The point defect formation energies were firstly evaluated.
Shuai Liu +6 more
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DECOMPOSITION FORMULA FOR JUMP DIFFUSION MODELS [PDF]
International Journal of Theoretical and Applied Finance, 2018 In this paper, we derive a generic decomposition of the option pricing formula for models with finite activity jumps in the underlying asset price process (SVJ models). This is an extension of the well-known result by Alòs [(2012) A decomposition formula for option prices in the Heston model and applications to option pricing approximation, Finance and
Merino, R. +3 more
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Feller Property for a Special Hybrid Jump-Diffusion Model
Abstract and Applied Analysis, 2014 We consider the stochastic stability for a hybrid jump-diffusion model, where the switching here is a phase semi-Markovian process. We first transform the process into a corresponding jump-diffusion with Markovian switching by the supplementary variable ...
Jinying Tong
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Green Energy & Environment, 2017 Phosphotungstic acid is an excellent proton conductor that can be incorporated into porous supports, and nanocomposite proton exchange membrane materials made from mesoporous silica impregnated with phosphotungstic acid have been suggested for use in ...
Krystina Lamb +8 more
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Variance Swap Pricing under Markov-Modulated Jump-Diffusion Model
Discrete Dynamics in Nature and Society, 2021 This paper investigates the pricing of discretely sampled variance swaps under a Markov regime-switching jump-diffusion model. The jump diffusion, as well as other parameters of the underlying stock’s dynamics, is modulated by a Markov chain representing
Shican Liu +3 more
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