A self-exciting threshold jump-diffusion model for option valuation (Q343990): Difference between revisions

@@ Property / Mathematics Subject Classification ID @@
+G20
@@ Property / Mathematics Subject Classification ID: 91G20 / rank @@
+Normal rank
@@ Property / Mathematics Subject Classification ID @@
+J75
@@ Property / Mathematics Subject Classification ID: 60J75 / rank @@
+Normal rank
@@ Property / Mathematics Subject Classification ID @@
+M10
@@ Property / Mathematics Subject Classification ID: 62M10 / rank @@
+Normal rank
@@ Property / zbMATH DE Number @@
+6654908
@@ Property / zbMATH DE Number: 6654908 / rank @@
+Normal rank
@@ Property / zbMATH Keywords @@
+option valuation
@@ Property / zbMATH Keywords: option valuation / rank @@
+Normal rank
@@ Property / zbMATH Keywords @@
+self-exciting threshold model
@@ Property / zbMATH Keywords: self-exciting threshold model / rank @@
+Normal rank
@@ Property / zbMATH Keywords @@
+generalized Esscher transform
@@ Property / zbMATH Keywords: generalized Esscher transform / rank @@
+Normal rank
@@ Property / zbMATH Keywords @@
+piecewise linear partial differential equation
+Normal rank
@@ Property / zbMATH Keywords @@
+quadratic approximation
@@ Property / zbMATH Keywords: quadratic approximation / rank @@
+Normal rank

Revision as of 06:51, 28 June 2023