Results 11 to 20 of about 15,601 (265)
Estimating functions for jump–diffusions [PDF]
Stochastic Processes and their Applications, 2019 Asymptotic theory for approximate martingale estimating functions is generalised to diffusions with finite-activity jumps, when the sampling frequency and terminal sampling time go to infinity. Rate optimality and efficiency are of particular concern.
Nina Munkholt Jakobsen +1 more
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Hierarchical Markov Model in Life Insurance and Social Benefit Schemes
Risks, 2018 We explored the effect of the jump-diffusion process on a social benefit scheme consisting of life insurance, unemployment/disability benefits, and retirement benefits. To do so, we used a four-state Markov chain with multiple decrements.
Jiwook Jang, Siti Norafidah Mohd Ramli
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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Journal of Computational and Applied Mathematics, 2015 This paper has been withdrawn by the author due to a private ...
Zhixin Yang 0002 +2 more
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On the Impulse Control of Jump Diffusions [PDF]
SIAM Journal on Control and Optimization, 2013 To appear in the SIAM Journal on Control and ...
Erhan Bayraktar +2 more
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Mathematics, 2023 The existing estimators for the drift coefficient in the diffusion model with jumps involve jump components and possess larger boundary error. How to effectively estimate the drift function is an important issue that faces challenges and has theoretical ...
Yuping Song +4 more
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Barrier Option Pricing in the Sub-Mixed Fractional Brownian Motion with Jump Environment
Fractal and Fractional, 2022 This paper investigates the pricing formula for barrier options where the underlying asset is driven by the sub-mixed fractional Brownian motion with jump.
Binxin Ji, Xiangxing Tao, Yanting Ji
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Pricing European Options under a Fuzzy Mixed Weighted Fractional Brownian Motion Model with Jumps
Fractal and Fractional, 2023 This study investigates the pricing formula for European options when the underlying asset follows a fuzzy mixed weighted fractional Brownian motion within a jump environment.
Feng Xu, Xiao-Jun Yang
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Inference Using Simulated Neural Moments
Econometrics, 2021 This paper studies method of simulated moments (MSM) estimators that are implemented using Bayesian methods, specifically Markov chain Monte Carlo (MCMC). Motivation and theory for the methods is provided by Chernozhukov and Hong (2003). The paper shows,
Michael Creel
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Power Exchange Option with a Hybrid Credit Risk under Jump-Diffusion Model
Mathematics, 2021 In this paper, we study the valuation of power exchange options with a correlated hybrid credit risk when the underlying assets follow the jump-diffusion processes.
Junkee Jeon, Geonwoo Kim
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Robust superhedging with jumps and diffusion [PDF]
Stochastic Processes and their Applications, 2015 Forthcoming in 'Stochastic Processes and their Applications'
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