Results 21 to 30 of about 10,047 (263)

Density approximations for multivariate affine jump-diffusion processes [PDF]

Journal of Econometrics, 2011
We introduce closed-form transition density expansions for multivariate affine jump-diffusion processes. The expansions rely on a general approximation theory which we develop in weighted Hilbert spaces for random variables which possess all polynomial moments.
Damir FILIPOVIC, Eberhard BERHARD, Paul SCHNEIDER   +2 more
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APPROXIMATE HEDGING OF OPTIONS UNDER JUMP-DIFFUSION PROCESSES [PDF]

International Journal of Theoretical and Applied Finance, 2015
We consider the problem of hedging a European-type option in a market where asset prices have jump-diffusion dynamics. It is known that markets with jumps are incomplete and that there are several risk-neutral measures one can use to price and hedge options. In order to address these issues, we approximate such a market by discretizing the jumps in an
Karl Mina, Gerald Cheang, Carl Chiarella
openaire   +3 more sources

Convergence rate of Euler–Maruyama scheme for SDDEs of neutral type

Journal of Inequalities and Applications, 2021
In this paper, we are concerned with the convergence rate of Euler–Maruyama (EM) scheme for stochastic differential delay equations (SDDEs) of neutral type, where the neutral, drift, and diffusion terms are allowed to be of polynomial growth.
Yanting Ji
doaj   +1 more source

Explicit Solution Processes for Nonlinear Jump-Diffusion Equations [PDF]

Journal of Nonlinear Mathematical Physics, 2021
Jump-diffusion equations with compound Poisson processes are often used to model financial data with spiky behavior. As many models are nonlinear, it is interesting to obtain linearization criteria together with the linearizing transformations, if any. Furthermore, the method of stochastic integrating factors is presented to solve linear jump-diffusion
Ünal, Gazanfer, Turkeri, Hasret, Khalique, Chaudry Masood   +2 more
openaire   +1 more source

Convergence of Limiting Cases of Continuous-Time, Discrete-Space Jump Processes to Diffusion Processes for Bayesian Inference

Mathematics
Jump-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
doaj   +1 more source

Pricing vulnerable options with variable default boundary under jump-diffusion processes

Advances in Difference Equations, 2018
For the pricing of vulnerable options, we improve the results of Klein and Inglis [Journal of Banking and Finance] and Tian et al. [The Journal of Futures and Markets], considering the circumstances in which the writers of options face financial crisis ...
Qing Zhou, Qian Wang, Weixing Wu
doaj   +1 more source

Pricing vulnerable European options with dynamic correlation between market risk and credit risk

Journal of Management Science and Engineering, 2020
In this paper, we study the valuation of vulnerable European options incorporating the reduced-form approach, which models the credit default of the counterparty.
Huawei Niu, Yu Xing, Yonggan Zhao
doaj   +1 more source

Exponential Ergodicity of the Jump-Diffusion CIR Process [PDF]

, 2015
In this paper we study the jump-diffusion CIR process (shorted as JCIR), which is an extension of the classical CIR model. The jumps of the JCIR are introduced with the help of a pure-jump Lévy process $(J_t, t \ge 0)$. Under some suitable conditions on the Lévy measure of $(J_t, t \ge 0)$, we derive a lower bound for the transition densities of the ...
Jin, Peng, Rüdiger, Barbara, Trabelsi, Chiraz   +2 more
openaire   +2 more sources

Option Pricing under the Jump Diffusion and Multifactor Stochastic Processes

Journal of Function Spaces, 2019
In financial markets, there exists long-observed feature of the implied volatility surface such as volatility smile and skew. Stochastic volatility models are commonly used to model this financial phenomenon more accurately compared with the conventional
Shican Liu, Yanli Zhou, Yonghong Wu, Xiangyu Ge   +3 more
doaj   +1 more source

A hybrid continuous-discrete method for stochastic reaction–diffusion processes [PDF]

Royal Society Open Science, 2016
Stochastic fluctuations in reaction–diffusion processes often have substantial effect on spatial and temporal dynamics of signal transductions in complex biological systems. One popular approach for simulating these processes is to divide the system into
Wing-Cheong Lo, Likun Zheng, Qing Nie
doaj   +1 more source