Pricing Study on Two Kinds of Power Options in Jump-Diffusion Models with Fractional Brownian Motion and Stochastic Rate (Articles)

Jin Li, Kaili Xiang, Chuanyi Luo

Applied Mathematics Vol.5 No.16，August 29, 2014

DOI: 10.4236/am.2014.516234   2,937 Downloads  3,345 Views  Citations

Optimal Investment and Risk Control Strategy for an Insurer under the Framework of Expected Logarithmic Utility (Articles)

Tingyun Wang

Open Journal of Statistics Vol.6 No.2，April 26, 2016

DOI: 10.4236/ojs.2016.62024   1,797 Downloads  2,136 Views  Citations

A Hybrid Importance Sampling Algorithm for Estimating VaR under the Jump Diffusion Model (Articles)

Tian-Shyr Dai, Li-Min Liu

Journal of Software Engineering and Applications Vol.2 No.4，November 27, 2009

DOI: 10.4236/jsea.2009.24039   4,679 Downloads  8,196 Views  Citations

Two-Sided First Exit Problem for Jump Diffusion Distribution Processes Having Jumps with a Mixture of Erlang (Articles)

Yuzhen Wen, Chuancun Yin

Applied Mathematics Vol.4 No.8，July 30, 2013

DOI: 10.4236/am.2013.48153   3,815 Downloads  7,062 Views  Citations

Duopolistic Competition and Capacity Choice with Jump-Diffusion Process (Articles)

Danmei Chen

Journal of Mathematical Finance Vol.5 No.2，May 22, 2015

DOI: 10.4236/jmf.2015.52018   2,429 Downloads  2,848 Views  Citations

A New Binomial Tree Method for European Options under the Jump Diffusion Model (Articles)

Lingkang Zhu, Xiu Kan, Huisheng Shu, Zifeng Wang

Journal of Applied Mathematics and Physics Vol.7 No.12，December 9, 2019

DOI: 10.4236/jamp.2019.712211   348 Downloads  461 Views  Citations

Integro-Differential Equations for a Jump-Diffusion Risk Process with Dependence between Claim Sizes and Claim Intervals (Articles)

Heli Gao

Journal of Applied Mathematics and Physics Vol.4 No.11，November 22, 2016

DOI: 10.4236/jamp.2016.411205   1,079 Downloads  1,485 Views  Citations

Optimal Portfolio Choice in a Jump-Diffusion Model with Self-Exciting (Articles)

Baojun Bian, Xinfu Chen, Xudong Zeng

Journal of Mathematical Finance Vol.9 No.3，August 20, 2019

DOI: 10.4236/jmf.2019.93020   302 Downloads  629 Views  Citations
This article belongs to the Special Issue on Financial Econometrics

Evaluating Energy Forward Dynamics Modeled as a Subordinated Hilbert-Space Linear Functional (Articles)

Victor Alexander Okhuese, Jane Akinyi Aduda, Joseph Mung’atu

Journal of Mathematical Finance Vol.10 No.3，August 25, 2020

DOI: 10.4236/jmf.2020.103025   111 Downloads  247 Views  Citations
This article belongs to the Special Issue on Pricing Strategy, Model and Price Analysis

Analysis of Nonlinear Stochastic Systems with Jumps Generated by Erlang Flow of Events (Articles)

Alexander S. Kozhevnikov, Konstantin A. Rybakov

Open Journal of Applied Sciences Vol.3 No.1，March 29, 2013

DOI: 10.4236/ojapps.2013.31001   3,757 Downloads  6,536 Views  Citations

The Pricing of Dual-Expiry Exotics with Mean Reversion and Jumps (Articles)

Kevin Z. Tong, Dongping Hou, Jianhua Guan

Journal of Mathematical Finance Vol.9 No.1，January 29, 2019

DOI: 10.4236/jmf.2019.91003   584 Downloads  1,027 Views  Citations

Pricing Options in Jump Diffusion Models Using Mellin Transforms (Articles)

Robert Frontczak

Journal of Mathematical Finance Vol.3 No.3，August 15, 2013

DOI: 10.4236/jmf.2013.33037   6,552 Downloads  9,709 Views  Citations

Jump Diffusion Modeling of Stock Prices on Ghana Stock Exchange (Articles)

Osei Antwi, Kyere Bright, Kwasi Awuah Wereko

Journal of Applied Mathematics and Physics Vol.8 No.9，September 7, 2020

DOI: 10.4236/jamp.2020.89131   92 Downloads  324 Views  Citations

Stochastic Volatility Jump-Diffusion Model for Option Pricing (Articles)

Nonthiya Makate, Pairote Sattayatham

Journal of Mathematical Finance Vol.1 No.3，November 8, 2011

DOI: 10.4236/jmf.2011.13012   4,724 Downloads  10,526 Views  Citations

Joint Characteristic Function of Stock Log-Price and Squared Volatility in the Bates Model and Its Asset Pricing Applications (Articles)

Oleksandr Zhylyevskyy

Theoretical Economics Letters Vol.2 No.4，November 1, 2012

DOI: 10.4236/tel.2012.24074   4,019 Downloads  6,286 Views  Citations

Application of Fast N-Body Algorithm to Option Pricing under CGMY Model (Articles)

Takayuki Sakuma

Journal of Mathematical Finance Vol.7 No.2，May 19, 2017

DOI: 10.4236/jmf.2017.72016   1,128 Downloads  1,628 Views  Citations
This article belongs to the Special Issue on Option Pricing

Equilibrium Equity Premium in a Semi Martingale Market When Jump Amplitudes Follow a Binomial Distribution (Articles)

George M. Mukupa, Elias R. Offen

Journal of Mathematical Finance Vol.8 No.3，August 20, 2018

DOI: 10.4236/jmf.2018.83038   594 Downloads  981 Views  Citations

Foreign Currency Mortgages Recast as Options on Commodity Futures (Articles)

Rebecca Abraham, Joel Auerbach

Theoretical Economics Letters Vol.9 No.7，September 25, 2019

DOI: 10.4236/tel.2019.97145   232 Downloads  387 Views  Citations

VaR-Optimal Risk Management in Regime-Switching Jump-Diffusion Models (Articles)

Alessandro Ramponi

Journal of Mathematical Finance Vol.3 No.1，February 28, 2013

DOI: 10.4236/jmf.2013.31009   5,223 Downloads  8,969 Views  Citations

A Note on the Kou’s Continuity Correction Formula (Articles)

Ting Liu, Chang Feng, Yanqiong Lu, Bei Yao

Open Journal of Social Sciences Vol.3 No.11，November 20, 2015

DOI: 10.4236/jss.2015.311005   2,869 Downloads  3,368 Views  Citations