Zobrazeno 1 - 10
of 14
pro vyhledávání: '"Xenos Chang-Shuo Lin"'
Publikováno v:
Probability in the Engineering and Informational Sciences. :1-26
This paper extends the standard double-exponential jump-diffusion (DEJD) model to allow for successive jumps to bring about different effects on the asset price process. The double-exponentially distributed jump sizes are no longer assumed to have th
Externí odkaz:
https://explore.openaire.eu/search/publication?articleId=doi_________::05778e77590073f3cfe725612a327663
https://doi.org/10.1017/s0269964822000493
https://doi.org/10.1017/s0269964822000493
Publikováno v:
Probability in the Engineering & Informational Sciences; Jan2024, Vol. 38 Issue 1, p39-64, 26p
Publikováno v:
Mathematical Methods of Operations Research. 94:493-528
Externí odkaz:
https://explore.openaire.eu/search/publication?articleId=doi_________::761495ebb9f31473cb1c9b1a9fb4d832
https://doi.org/10.1007/s00186-021-00763-9
https://doi.org/10.1007/s00186-021-00763-9
Publikováno v:
Methodology and Computing in Applied Probability. 22:237-265
In the literature on scan statistics, the distributions of continuous scan statistics for one-dimensional Poisson processes have been extensively studied, most of which deal with single window scan statistics under homogeneous Poisson processes. In t
Externí odkaz:
https://explore.openaire.eu/search/publication?articleId=doi_________::2ed0fab8e1f4855fe9cefd005e67c2d4
https://doi.org/10.1007/s11009-019-09704-w
https://doi.org/10.1007/s11009-019-09704-w
Publikováno v:
Applied Stochastic Models in Business and Industry. 35:681-703
Externí odkaz:
https://explore.openaire.eu/search/publication?articleId=doi_________::cd2873c62e44faea7f246baca8484738
https://doi.org/10.1002/asmb.2371
https://doi.org/10.1002/asmb.2371
Publikováno v:
Finance Research Letters. 24:113-128
This paper considers short-dated foreign equity options (FEOs) and proposes a new model for their pricing. When time to maturity is short, the possibility of seeing jumps caused by a forthcoming big event will make the return distributions of both as
Externí odkaz:
https://explore.openaire.eu/search/publication?articleId=doi_________::86ff4b58131fc7b718fc0861d642e514
https://doi.org/10.1016/j.frl.2017.07.012
https://doi.org/10.1016/j.frl.2017.07.012
Publikováno v:
Communications in Statistics - Theory and Methods. 47:953-979
This paper extends the classical jump-diffusion option pricing model to incorporate serially correlated jump sizes which have been documented in recent empirical studies. We model the series of jum...
Externí odkaz:
https://explore.openaire.eu/search/publication?articleId=doi_________::b9e957c6db1e1b66daa3ab7f9bb50867
https://doi.org/10.1080/03610926.2017.1315731
https://doi.org/10.1080/03610926.2017.1315731
Publikováno v:
Operations Research Letters. 44:129-135
This note discusses how the never-early-exercise region of American power exchange options is influenced by the nonlinearity from its power coefficients. We consider a class of models which satisfy the power invariant property and show that early exe
Externí odkaz:
https://explore.openaire.eu/search/publication?articleId=doi_________::4bbc277781f5445a239992026f5ad0eb
https://doi.org/10.1016/j.orl.2015.12.011
https://doi.org/10.1016/j.orl.2015.12.011
Publikováno v:
Computers & Operations Research. 65:111-124
In the queueing literature, an arrival process with random arrival rate is usually modeled by a Markov-modulated Poisson process (MMPP). Such a process has discrete states in its intensity and is able to capture the abrupt changes among different reg
Externí odkaz:
https://explore.openaire.eu/search/publication?articleId=doi_________::cc689e087ff062d4d0b35ac12f0d2cfb
https://doi.org/10.1016/j.cor.2015.06.015
https://doi.org/10.1016/j.cor.2015.06.015
Publikováno v:
Operations Research Letters. 42:27-33
We propose a jump-diffusion model where the bivariate jumps are serially correlated with a mean-reverting structure. Mathematical analysis of the jump accumulation process is given, and the European call option price is derived in analytical form. Th
Externí odkaz:
https://explore.openaire.eu/search/publication?articleId=doi_________::b6d8e020f472e389efbeb1249df30041
https://doi.org/10.1016/j.orl.2013.11.004
https://doi.org/10.1016/j.orl.2013.11.004