As an example we introduce a new model, the generalized inverse Gaussian diffusion.doi:10.1023/a:1009961817149Milan BorkovecClaudia KlüppelbergExtremesBorkovec, M., Klu¨ppelberg, C.: Extremal behavior of diffusion models in finance. Extremes. 1, 47-80 (1998)...
jump-diffusion stock return models in finance . . . . The stochastic analysis is presented for the parameter estimation problem for tting a theoretical jump-diffusion model to the log-returns from closing data... FB Hanson,JJ Westman 被引量: 0发表: 2008年 A new characterization of the jump...
The following models are considered in detail: Bachelier and Black—Scholes model, Hull—White model, displaced diffusion (DD) model, constant elasticity of variance (CEV) model, Heston (HSV) model and Heston—Hull—White (HHW) model. Each model is described in terms of the model parameters ...
innovationsfinancial servicesdiffusionagent-based modeling and simulationThe number of innovative financial solutions introduced to markets has grown considerably in... MG Nejad,H Estelami - 《Journal of Financial Services Marketing》 被引量: 9发表: 2012年 Does the 'diffusion of innovations' model enri...
Jensen on the joint Bayesian MCMC estimation of objective and risk-neutral parameters, given historical prices of the underlying S&P500 and a cross-sectional panel of options written on it, in continuous time Affine-Jump Diffusion partial equilibrium setting. All the finance-related applied technical...
When we talk about applications of Mathematics in finance, a reasonable question is "Do the results fit with the market being?". This question can be answered in many ways, but the first point is, if you are looking for a model that predicts the price of a stock, a tax, or something...
In the current era of green digital finance, technology diffusion is equally necessary and essential for technological innovation in environmental and climate governance. Second, it extends the classic spatial Dubin model with a dual-weighted boundary and distance at the city-pair level. Thus, this ...
We derive a computable approximation for the value of a European call option when prices satisfy a jump-diffusion model with the coefficients depending exp... F Mercurio,WJ Runggaldier - 《Mathematical Finance》 被引量: 67发表: 1993年 Jump-Diffusion Risk-Sensitive Asset Management In this articl...
The Ratcliff diffusion model has proved to be a useful tool in reaction time analysis. However, its use has been limited by the practical difficulty of est... J Vandekerckhove,F Tuerlinckx - 《Behavior Research Methods》 被引量: 310发表: 2008年 Modeling and measurement of sediment transport...
Research of the one type of exotic options on extremes in the diffusion model of (B, S)–finance market Second International Conference on Innovative Computing, Information and Control, Kumamoto, Japan (2007), pp. 5-7 September, 4 Google Scholar Buchen and Konstandatos, 2005 P. Buchen, O....