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An Efficient and Accurate Lattice for Pricing Derivatives under a Jump-Diffusion Process
Estimation of a Stochastic-Volatility Jump-Diffusion Model€¦ · (probability of an unusual event) is 33% each day. The jump diffusion estimates try to pick up the volatility clustering
Nonparametric calibration of jump-diffusion option pricing
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Interpretation of quantum jump and diffusion processes illustrated … · PHYSICAL REVIEW A VOLUME 47, NUMBER 3 MARCH 1993 Interpretation of quantum jump and difFusion processes illustrated
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A multi-factor jump-diffusion model for · PDF fileIntroducing a multi-factor jump-diffusion model for commodities ... options in a multi-factor jump-diffusion model using Fourier
Jump and Cojump Risk in Subprime Home Equity Derivatives · Jump and Cojump Risk in Subprime Home Equity Derivatives Bruce ... mergers of Bear Stearns with JP ... power as long as
ON THE FUNCTIONAL ESTIMATION OF JUMP-DIFFUSION MODELS · ON THE FUNCTIONAL ESTIMATION OF JUMP-DIFFUSION MODELS⁄ Federico M. Bandiy Graduate School of Business The University of
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Jump-Diffusion Option Valuation Without a Representative Investor… · 2019-12-12 · 2 Jump-Diffusion Option Valuation Without a Representative Investor: a Stochastic Dominance
PRICING OPTIONS UNDER JUMP-DIFFUSION PROCESSES David S. Bates … · Pricing Options Under Jump-Diffusion Processes David S. Bates Finance Department The Wharton School University
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Non-parametric calibration of jump–diffusion option pricing …rama/papers/entropy.pdfWe present a non-parametric method for calibrating jump–diffusion and, more generally, exponential
Optimal Portfolio Problem for Stochastic-Volatility, Jump ...homepages.math.uic.edu/~hanson/pub/BFS08/bfs08... · Optimal Portfolio Problem for Stochastic-Volatility, Jump-Diffusion
Introduction to Merton Jump Diffusion Model - Matsuda Lab to MJD Matsuda.pdf · © 2004 Kazuhisa Matsuda All rights reserved. Introduction to Merton Jump Diffusion Model Kazuhisa
Numerical solution of jump-diffusion LIBOR market models · 2014. 7. 30. · Jump-diffusion LIBOR market models 3 This paper addresses the numerical solution, through discretization