Results 31 to 40 of about 15,601 (265)
Discrete Dynamics in Nature and Society, 2018 This paper proposes a second-order jump diffusion model to study the jump dynamics of stock market returns via adding a jump term to traditional diffusion model. We develop an appropriate maximum likelihood approach to estimate model parameters.
Tianshun Yan +2 more
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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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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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Risks, 2018 We extend an existing numerical model (Grasselli (2011)) for valuing a real option to invest in a capital project in an incomplete market with a finite time horizon.
Timothy Hillman, Nan Zhang, Zhuo Jin
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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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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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IMEX Runge-Kutta method for solving jump-diffusion option pricing equation
上海师范大学学报. 自然科学版, 2022 The study on financial derivatives pricing has been one of the difficult issues in financial mathematics. With the continuous development and improvement of option pricing theory, the research on the jump-diffusion option pricing model has become a ...
LI Zifeng, WANG Wansheng
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Therapeutic Apheresis and Dialysis, EarlyView.ABSTRACT Background Chronic micro‐inflammation in patients with end‐stage renal disease (ESRD) is a significant driver of cardiovascular complications and diminished quality of life. While standard hemodialysis (SHD) effectively manages small‐molecule clearance, its ability to remove medium‐to‐large uremic toxins—the primary catalysts of systemic ...
Hongwei Zuo +5 more
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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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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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