Discrete-time bond and option pricing for jump-diffusion processes (Q375257): Difference between revisions

@@ Property / author @@
-Sanjiv Ranjan Das
@@ Property / author: Sanjiv Ranjan Das / rank @@
-Normal rank
@@ Property / author @@
+Sanjiv Ranjan Das
@@ Property / author: Sanjiv Ranjan Das / rank @@
+Normal rank
@@ Property / Mathematics Subject Classification ID @@
+G60
@@ Property / Mathematics Subject Classification ID: 91G60 / rank @@
+Normal rank
@@ Property / Mathematics Subject Classification ID @@
+G20
@@ Property / Mathematics Subject Classification ID: 91G20 / rank @@
+Normal rank
@@ Property / zbMATH DE Number @@
+6220649
@@ Property / zbMATH DE Number: 6220649 / rank @@
+Normal rank
@@ Property / zbMATH Keywords @@
+jump-diffusions
@@ Property / zbMATH Keywords: jump-diffusions / rank @@
+Normal rank
@@ Property / zbMATH Keywords @@
+options
@@ Property / zbMATH Keywords: options / rank @@
+Normal rank
@@ Property / zbMATH Keywords @@
+bonds
@@ Property / zbMATH Keywords: bonds / rank @@
+Normal rank
@@ Property / MaRDI profile type @@
+MaRDI publication profile
@@ Property / MaRDI profile type: MaRDI publication profile / rank @@
+Normal rank
@@ Property / cites work @@
+Pricing Options On Risky Assets In A Stochastic Interest Rate Economy<sup>1</sup>
+Normal rank
@@ Property / cites work @@
+CONVERGENCE OF AMERICAN OPTION VALUES FROM DISCRETE‐ TO CONTINUOUS‐TIME FINANCIAL MODELS<sup>1</sup>
+Normal rank
@@ Property / cites work @@
+Q4218390
@@ Property / cites work: Q4218390 / rank @@
+Normal rank
@@ Property / cites work @@
+The Pricing of Options and Corporate Liabilities
@@ Property / cites work: The Pricing of Options and Corporate Liabilities / rank @@
+Normal rank
@@ Property / cites work @@
+Point processes and queues. Martingale dynamics
@@ Property / cites work: Point processes and queues. Martingale dynamics / rank @@
+Normal rank
@@ Property / cites work @@
+An Intertemporal General Equilibrium Model of Asset Prices
+Normal rank
@@ Property / cites work @@
+Option pricing: A simplified approach
@@ Property / cites work: Option pricing: A simplified approach / rank @@
+Normal rank
@@ Property / cites work @@
+Exact solutions for bond and option prices with systematic jump risk
+Normal rank
@@ Property / cites work @@
+Q3811988
@@ Property / cites work: Q3811988 / rank @@
+Normal rank
@@ Property / cites work @@
+Q4794153
@@ Property / cites work: Q4794153 / rank @@
+Normal rank
@@ Property / cites work @@
+Q3279573
@@ Property / cites work: Q3279573 / rank @@
+Normal rank
@@ Property / cites work @@
+OPTION PRICING USING THE TERM STRUCTURE OF INTEREST RATES TO HEDGE SYSTEMATIC DISCONTINUITIES IN ASSET RETURNS
+Normal rank
@@ Property / cites work @@
+Approximations for functionals and optimal control problems on jump diffusion processes
+Normal rank
@@ Property / cites work @@
+Option pricing when underlying stock returns are discontinuous
+Normal rank
@@ Property / cites work @@
+Q3208026
@@ Property / cites work: Q3208026 / rank @@
+Normal rank
@@ Property / cites work @@
+Q3713481
@@ Property / cites work: Q3713481 / rank @@
+Normal rank
@@ Property / cites work @@
+Interest Rate Option Pricing With Poisson‐Gaussian Forward Rate Curve Processes
+Normal rank
@@ Property / cites work @@
+Q4171531
@@ Property / cites work: Q4171531 / rank @@
+Normal rank
@@ Property / cites work @@
+An equilibrium characterization of the term structure
+Normal rank
@@ Property / cites work @@
+Q4289128
@@ Property / cites work: Q4289128 / rank @@
+Normal rank
@@ Property / full work available at URL @@
+https://doi.org/10.1007/bf01531143
+Normal rank
@@ Property / OpenAlex ID @@
+W3126098922
@@ Property / OpenAlex ID: W3126098922 / rank @@
+Normal rank
@@ links / mardi / name / links / mardi / name @@
+Publication:375257