Jump Diffusion - Articles - Scientific Research Publishing

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 765 Downloads 3,648 Views Citations
Poisson Process Modeling of Pure Jump Equities on the Ghana Stock Exchange (Articles)

Osei Antwi, Kyere Bright, Martinu Issa

Journal of Applied Mathematics and Physics Vol.10 No.10, October 27, 2022

DOI: 10.4236/jamp.2022.1010207 175 Downloads 1,047 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 7,849 Downloads 12,324 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 2,184 Downloads 3,171 Views Citations
A Comparative Study of Equilibrium Equity Premium under Discrete Distributions of Jump Amplitudes (Articles)

George M. Mukupa, Elias R. Offen, Douglas Kunda, Edward M. Lungu

Journal of Mathematical Finance Vol.6 No.1, February 29, 2016

DOI: 10.4236/jmf.2016.61020 2,879 Downloads 4,018 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 1,026 Downloads 2,714 Views Citations
This article belongs to the Special Issue on Financial Econometrics
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 5,395 Downloads 9,715 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 5,761 Downloads 12,860 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 4,831 Downloads 8,079 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 4,311 Downloads 8,342 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 2,848 Downloads 3,960 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 1,666 Downloads 3,162 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 1,121 Downloads 2,200 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 665 Downloads 2,028 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 1,020 Downloads 2,595 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 1,511 Downloads 2,708 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 5,847 Downloads 10,397 Views Citations
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 3,410 Downloads 4,490 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 3,399 Downloads 4,641 Views Citations
On Optimal Sparse-Control Problems Governed by Jump-Diffusion Processes (Articles)

Beatrice Gaviraghi, Andreas Schindele, Mario Annunziato, Alfio Borzì

Applied Mathematics Vol.7 No.16, October 25, 2016

DOI: 10.4236/am.2016.716162 1,883 Downloads 3,574 Views Citations

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