Jump-diffusion productivity models in equilibrium problems with heterogeneous agents
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Cites work
- scientific article; zbMATH DE number 5480935 (Why is no real title available?)
- scientific article; zbMATH DE number 3009276 (Why is no real title available?)
- A jump-diffusion model for option pricing
- Augmented Lagrangian active set methods for obstacle problems
- Effects of jump-diffusion models for the house price dynamics in the pricing of fixed-rate mortgages, insurance and coinsurance
- Entry, Exit, and firm Dynamics in Long Run Equilibrium
- Equilibrium models with heterogeneous agents under rational expectations and its numerical solution
- IMEX schemes for pricing options under jump-diffusion models
- Income and wealth distribution in macroeconomics: a continuous-time approach
- Jump-diffusion models with two stochastic factors for pricing swing options in electricity markets with partial-integro differential equations
- Mean field games
- Numerical valuation of options with jumps in the underlying
- Option pricing when underlying stock returns are discontinuous
- PDE and martingale methods in option pricing.
- Partial differential equation models in macroeconomics
- Robust numerical methods for contingent claims under jump diffusion processes
- Selection, Growth, and the Size Distribution of Firms
- The dynamics of inequality
- The risk-free rate in heterogeneous-agent incomplete-insurance economies
Cited in
(3)- Models and numerical methods for equilibrium problems with heterogeneous agents involving two productive sectors
- Environmental management and restoration under unified risk and uncertainty using robustified dynamic Orlicz risk
- Two-productive sector equilibrium problems with heterogeneous agents under jump-diffusion models
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