Results 241 to 250 of about 9,750 (263)

Transform Analysis and Asset Pricing for Affine Jump-diffusions

Econometrica, 2000
Darrell Duffie
exaly  

Pricing options on the maximum or minimum of multi-assets under jump-diffusion processes

International Review of Economics and Finance, 2020
Xingchun Wang
exaly  

Nonlinear jump diffusion processes

2017
openaire   +1 more source

Pricing arithmetic Asian options under jump diffusion CIR processes

Finance Research Letters, 2020
Jang Hyun Jin
exaly  

On Markov Jump Processes Imbedded at Jump Epochs and Their Queueing-Theoretic Applications

Mathematics of Operations Research, 1982
Benjamin Melamed
exaly  

On Feller and Strong Feller Properties and Exponential Ergodicity of Regime-Switching Jump Diffusion Processes with Countable Regimes

SIAM Journal on Control and Optimization, 2017
Chao Zhu
exaly  

Pricing exchange options with correlated jump diffusion processes

Quantitative Finance, 2020
Nicola Cufaro Petroni, Piergiacomo Sabino   +1 more
exaly  

APPROXIMATING GARCH-JUMP MODELS, JUMP-DIFFUSION PROCESSES, AND OPTION PRICING

Mathematical Finance, 2006
Peter Ritchken
exaly  

Non-local Dirichlet forms and symmetric jump processes

Transactions of the American Mathematical Society, 2009
Zhen-Qing Chen, Moritz Kassmann
exaly  

A new approach to quantitative propagation of chaos for drift, diffusion and jump processes

Probability Theory and Related Fields, 2013
Clément Mouhot, Bernt Wennberg
exaly