scientific article; zbMATH DE number 2015370

MaRDI QIDQ4438205zbMATH OpenFDO

Authors John J. Westman, Floyd B. Hanson

Publication date 25 February 2004

zbMATH Keywords

jump diffusion log-return processlog-normal jump amplitudes

Mathematics Subject Classification ID

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Cited in

(11)

• On modelling long term stock returns with ergodic diffusion processes: arbitrage and arbitrage-free specifications
• Estimation for a second-order jump diffusion model from discrete observations: application to stock market returns
• Analytical representations for the basic affine jump diffusion
• Ehrenfest model with large jumps in finance
• The log-asset dynamic with Euler-Maruyama scheme under Wishart processes
• On Poisson mixture of lognormal distributions
• Jump-diffusion models with constant parameters for financial log-return processes
• Valuing Lifetime Withdrawal Guarantees in RILAs
• A mutually exciting rough jump-diffusion for financial modelling
• A fuzzy jump-diffusion option pricing model based on the Merton formula
• Jump diffusion models and the evolution of financial prices

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