Pages that link to "Item:Q343990"

The following pages link to A self-exciting threshold jump-diffusion model for option valuation (Q343990):

Displaying 8 items.

• Pricing European vanilla options under a jump-to-default threshold diffusion model (Q724526) (← links)
• A switching self-exciting jump diffusion process for stock prices (Q2000696) (← links)
• Parameter estimation for threshold Ornstein-Uhlenbeck processes from discrete observations (Q2141576) (← links)
• A Markov chain approximation scheme for option pricing under skew diffusions (Q4991088) (← links)
• A generalized Esscher transform for option valuation with regime switching risk (Q5079361) (← links)
• A THRESHOLD MODEL FOR LOCAL VOLATILITY: EVIDENCE OF LEVERAGE AND MEAN REVERSION EFFECTS ON HISTORICAL DATA (Q5384680) (← links)
• Optimal investment-consumption-insurance strategy in a continuous-time self-exciting threshold model (Q5866092) (← links)
• European option pricing with market frictions, regime switches and model uncertainty (Q6152695) (← links)