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Pricing Discrete Barrier Options Under the Jump-Diffusion Model with Stochastic Volatility and Stochastic Intensity
期刊论文
COMMUNICATIONS IN MATHEMATICS AND STATISTICS, 2022, 页码: 25
作者:
Duan, Pingtao
;
Liu, Yuting
;
Ma, Zhiming
收藏
  |  
浏览/下载:10/0
  |  
提交时间:2023/02/07
Option pricing
Discrete barrier options
Jump-diffusion model
Stochastic volatility
Stochastic intensity
Least-square-based control variate method for pricing options under general factor models
期刊论文
INTERNATIONAL JOURNAL OF COMPUTER MATHEMATICS, 2019, 卷号: 96, 期号: 6, 页码: 1121-1136
作者:
Xu, Chenglong
;
Ma, Junmei
;
Tian, Yiming
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  |  
浏览/下载:15/0
  |  
提交时间:2019/08/22
Control variate method
least-square method
Monte Carlo simulation
stochastic volatility
stochastic interest rate
An efficient conditional Monte Carlo method for European option pricing with stochastic volatility and stochastic interest rate
期刊论文
INTERNATIONAL JOURNAL OF COMPUTER MATHEMATICS, 2019
作者:
Liang, Yijuan
;
Xu, Chenglong
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  |  
浏览/下载:6/0
  |  
提交时间:2019/08/22
Conditional Monte Carlo
martingale control variate
option pricing
stochastic volatility
stochastic interest rate
VALUATION OF VULNERABLE OPTIONS UNDER THE DOUBLE EXPONENTIAL JUMP MODEL WITH STOCHASTIC VOLATILITY
期刊论文
PROBABILITY IN THE ENGINEERING AND INFORMATIONAL SCIENCES, 2019, 卷号: 33, 期号: 1, 页码: 81-104
作者:
Han, Xingyu
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  |  
浏览/下载:8/0
  |  
提交时间:2019/12/11
double exponential jump
Fourier-cosine expansion
Geske-Johnson scheme
inverse fast Fourier transform
stochastic volatility
vulnerable
American options
Derivatives trading for insurers
期刊论文
INSURANCE MATHEMATICS & ECONOMICS, 2019, 卷号: 84, 页码: 40-53
作者:
Xue, Xiaole
;
Wei, Pengyu
;
Weng, Chengguo
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  |  
浏览/下载:10/0
  |  
提交时间:2019/12/11
Derivatives trading
HJB equations
Investment-reinsurance
Stochastic
control
Stochastic volatility
Parameter estimates of Heston stochastic volatility model with MLE and consistent EKF algorithm
期刊论文
SCIENCE CHINA-INFORMATION SCIENCES, 2018, 卷号: 61, 期号: 4, 页码: 17
作者:
Wang, Ximei
;
He, Xingkang
;
Bao, Ying
;
Zhao, Yanlong
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  |  
浏览/下载:19/0
  |  
提交时间:2018/07/30
Heston model
stochastic volatility model
parameter estimation
normal maximum likelihood estimation
pseudo maximum likelihood estimation
consistent extended Kalman filter
Fractional Wishart processes and epsilon-fractional Wishart processes with applications
期刊论文
COMPUTERS & MATHEMATICS WITH APPLICATIONS, 2018, 卷号: Vol.75 No.8, 页码: 2955-2977
作者:
Yue, J
;
Huang, NJ
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浏览/下载:2/0
  |  
提交时间:2019/02/28
Fractional Wishart process
epsilon-Fractional Wishart processes
Stochastic partial differential equation
Financial volatility theory
Pricing and hedging vulnerable option with funding costs and collateral
期刊论文
CHAOS SOLITONS & FRACTALS, 2018, 卷号: 112, 页码: 103-115
作者:
Han, Xingyu
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  |  
浏览/下载:6/0
  |  
提交时间:2019/12/11
European vulnerable option
Funding spreads
Collateral
Local
volatility
Backward stochastic differential equations
Asset prices and economic fluctuations: The implications of stochastic volatility
期刊论文
ECONOMIC MODELLING, 2017, 卷号: 64, 页码: 128-140
作者:
Chen, Junping
;
Xiong, Xiong
;
Zhu, Jie
;
Zhu, Xiaoneng
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  |  
浏览/下载:6/0
  |  
提交时间:2019/08/22
Economic fluctuations
Dynamic Fama-French factors
Stochastic volatility
International stock markets
Predictability
An extension of stochastic volatility model with mixed frequency information
期刊论文
ECONOMICS LETTERS, 2017, 卷号: 155, 页码: 144-148
作者:
Shang, Yuhuang
;
Liu, Lulu
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  |  
浏览/下载:22/0
  |  
提交时间:2019/10/09
Stochastic volatility
Mixed-frequency
Monte Carlo experiment
MCMC method
Unobservable component
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