Replacement Investment Decisions under Jump Diffusion Processes
نویسندگان
چکیده
منابع مشابه
A Computational Scheme for Options under Jump Diffusion Processes
In this paper we develop two novel numerical methods for the partial integral differential equation arising from the valuation of an option whose underlying asset is governed by a jump diffusion process. These methods are based on a fitted finite volume method for the spatial discretization, an implicit-explicit time stepping scheme and the Crank-Nicolson time stepping method. We show that the ...
متن کاملOptimal Dividend Payouts under Jump-diffusion Risk Processes
This article considers the dividend optimization problem for an insurer with a jumpdiffusion risk process in the presence of fixed and proportional transaction costs. Due to the presence of a fixed transaction cost, the mathematical problem becomes an impulse stochastic control problem. Using a stochastic impulse control approach, we transform the stochastic control problem into a quasi-variati...
متن کاملApproximating GARCH-Jump Models, Jump-Diffusion Processes, and Option Pricing
This paper considers the pricing of options when there are jumps in the pricing kernel and correlated jumps in asset prices and volatilities. We extend theory developed by Nelson (1990) and Duan (1997) by considering limiting models for our resulting approximating GARCH-Jump process. Limiting cases of our processes consist of models where both asset price and local volatility follow jump diffus...
متن کاملJump locations of jump-diffusion processes with state-dependent rates
We propose a general framework for studying statistics of jump-diffusion systems driven by both Brownian noise (diffusion) and a jump process with state-dependent intensity. Of particular natural interest in many physical systems are the jump locations: the system evaluated at the jump times. As an example, this could be the voltage at which a neuron fires, or the so-called ‘threshold voltage’....
متن کاملDetecting Jumps from Lévy Jump Diffusion Processes
Recent asset-pricing models incorporate jump risk through Lévy processes in addition to diffusive risk. This paper studies how to detect stochastic arrivals of small and big Lévy jumps with new nonparametric tests. The tests allow for robust analysis of their separate characteristics and facilitate better estimation of return dynamics. Empirical evidence of both small and big jumps based on the...
متن کاملذخیره در منابع من
با ذخیره ی این منبع در منابع من، دسترسی به آن را برای استفاده های بعدی آسان تر کنید
ژورنال
عنوان ژورنال: Journal of Real Options and Strategy
سال: 2011
ISSN: 1881-5774,1884-1635
DOI: 10.12949/realopn.4.33