نتایج جستجو برای: jump diffusion market

تعداد نتایج: 358124  

2005
Matthias Scherer

In this paper, we present two efficient algorithms for pricing credit default swaps based on a structural default model. In our model, the value of the firm is assumed to be the exponential of a jump-diffusion process. Our first algorithm to price a credit default swap within this framework is an efficient and unbiased Monte Carlo simulation. An excellent performance is obtained by first simula...

2012
S. MISCHLER

This paper is devoted the the study of the mean field limit for many-particle systems undergoing jump, drift or diffusion processes, as well as combinations of them. The main results are quantitative estimates on the decay of fluctuations around the deterministic limit and of correlations between particles, as the number of particles goes to infinity. To this end we introduce a general function...

Journal: :Management Science 2010
Gurdip Bakshi Liuren Wu

W exploit the information in the options market to study the variations of return risk and market prices of different sources of risk during the rise and fall of the Nasdaq market. We specify a model that accommodates fluctuations in both risk levels and market prices of different sources of risk, and we estimate the model using the time-series returns and option prices on the Nasdaq 100 tracki...

2007
S. G. Kou

In this survey we shall focus on the following issues related to jump-diffusion models for asset pricing in financial engineering. (1) The controversy over tailweight of distributions. (2) Identifying a risk-neutral pricing measure by using the rational expectations equilibrium. (3) Using Laplace transforms to pricing options, including European call/put options, path-dependent options, such as...

2013
Weijun Xu Xiaolong Peng Weilin Xiao

Owing to the fluctuation of financial markets from time to time, some parameters, such as the interest rate, volatility, cannot be precisely described. Under the assumption that the risk-free rate, the volatility, and the average jump intensity are fuzzy numbers, this paper presents the jump-diffusion approach to price vulnerable options in fuzzy environments. We also provide the crisp possibil...

Journal: :Journal of computational and applied mathematics 2016
Lina Meinecke Per Lötstedt

Diffusion of molecules is simulated stochastically by letting them jump between voxels in a Cartesian mesh. The jump coefficients are first derived using finite difference, finite element, and finite volume approximations of the Laplacian on the mesh. An alternative is to let the first exit time for a molecule in random walk in a voxel define the jump coefficient. Such coefficients have the adv...

1997
Stephen D. Smith H. Talmage Dobbs Chenyang Feng

In this paper we investigate the recently documented trading profits based on technical trading rules in an asset pricing framework that incorporates jump risk and time-varying risk premia. Following Brock, Lakonishok, and LeBaron (1992), we apply popular technical trading rules to the daily S&P 500 index over a long period of time. Trading profits are examined using bootstrap simulation to add...

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