نتایج جستجو برای: jump diffusion

تعداد نتایج: 180481  

In this paper, we aim at developing a model for option pricing to reduce the risks associated with Ethiopian commodity prices fluctuations. We used the daily closed Unwashed Lekempti grade 5 (ULK5) coffee and Whitish Wollega Sesame Seed Grade3 (WWSS3) prices obtained from Ethiopia commodity exchange (ECX) market to analyse the prices fluctuations.The natures of log-returns of the prices exhibit a...

Journal: :Advances in Applied Probability 2012

Journal: :SIAM J. Control and Optimization 2010
Mark H. A. Davis Xin Guo Guoliang Wu

This paper studies regularity properties of the value function for an infinite-horizon discounted cost impulse control problem, where the underlying controlled process is a multidimensional jump diffusion with possibly ‘infinite-activity’ jumps. Surprisingly, despite these jumps, we obtain the same degree of regularity as for the diffusion case, at least when the jump satisfies certain integrab...

2012
Nonthiya Makate Pairote Sattayatham P. Sattayatham

An alternative option pricing model is proposed, in which the asset prices follow the jump-diffusion and exhibits mean reversion. The stochastic volatility follows the jump-diffusion with mean reversion. We find a formulation for the European-style option in terms of characteristic functions.

2009
B. LAQUERRIÈRE N. PRIVAULT

In this note we obtain deviation inequalities for the law of exponential jump-diffusion processes at a fixed time. Our method relies on convex concentration inequalities obtained by forward/backward stochastic calculus. In the pure jump and pure diffusion cases, it also improves on classical results obtained by direct application of Gaussian and Poisson bounds.

2014
Tua A. Tamba

This note uses sum of squares (SOS) relaxation to solve stochastic reachability problems for jump-diffusion processes. The main result is a polynomial characterization of the infinitesimal generator for the solution of a jump-diffusion process’ boundary value problem, thereby enabling one to compute a bound on the probability of reaching a target set in finite time using SOS optimization.

Journal: :Stochastic Processes and their Applications 1999

Journal: :International Journal of Theoretical and Applied Finance 2018

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