Double Exponential Jump-Diffusion - Articles - Scientific Research Publishing

Pricing Study on Two Kinds of Power Options in Jump-Diffusion Models with Fractional Brownian Motion and Stochastic Rate (Articles)

Jin Li, Kaili Xiang, Chuanyi Luo

Applied Mathematics Vol.5 No.16, August 29, 2014

DOI: 10.4236/am.2014.516234 3,444 Downloads 4,556 Views Citations
A Comparative Study of Equilibrium Equity Premium under Discrete Distributions of Jump Amplitudes (Articles)

George M. Mukupa, Elias R. Offen, Douglas Kunda, Edward M. Lungu

Journal of Mathematical Finance Vol.6 No.1, February 29, 2016

DOI: 10.4236/jmf.2016.61020 2,918 Downloads 4,102 Views Citations
On Optimal Sparse-Control Problems Governed by Jump-Diffusion Processes (Articles)

Beatrice Gaviraghi, Andreas Schindele, Mario Annunziato, Alfio Borzì

Applied Mathematics Vol.7 No.16, October 25, 2016

DOI: 10.4236/am.2016.716162 1,907 Downloads 3,638 Views Citations
Integro-Differential Equations for a Jump-Diffusion Risk Process with Dependence between Claim Sizes and Claim Intervals (Articles)

Heli Gao

Journal of Applied Mathematics and Physics Vol.4 No.11, November 22, 2016

DOI: 10.4236/jamp.2016.411205 1,551 Downloads 2,792 Views Citations
A Mean-Field Stochastic Maximum Principle for Optimal Control of Forward-Backward Stochastic Differential Equations with Jumps via Malliavin Calculus (Articles)

Qing Zhou, Yong Ren

Journal of Applied Mathematics and Physics Vol.6 No.1, January 16, 2018

DOI: 10.4236/jamp.2018.61014 1,092 Downloads 2,607 Views Citations
Optimal Portfolio Choice in a Jump-Diffusion Model with Self-Exciting (Articles)

Baojun Bian, Xinfu Chen, Xudong Zeng

Journal of Mathematical Finance Vol.9 No.3, August 20, 2019

DOI: 10.4236/jmf.2019.93020 1,075 Downloads 2,820 Views Citations
This article belongs to the Special Issue on Financial Econometrics
Derivatives Pricing via Machine Learning (Articles)

Tingting Ye, Liangliang Zhang

Journal of Mathematical Finance Vol.9 No.3, August 27, 2019

DOI: 10.4236/jmf.2019.93029 1,932 Downloads 8,813 Views Citations
A Clustering Method to Solve Backward Stochastic Differential Equations with Jumps (Articles)

Liangliang Zhang

Journal of Mathematical Finance Vol.10 No.1, December 13, 2019

DOI: 10.4236/jmf.2020.101001 886 Downloads 2,183 Views Citations
Evaluating Energy Forward Dynamics Modeled as a Subordinated Hilbert-Space Linear Functional (Articles)

Victor Alexander Okhuese, Jane Akinyi Aduda, Joseph Mung’atu

Journal of Mathematical Finance Vol.10 No.3, August 25, 2020

DOI: 10.4236/jmf.2020.103025 570 Downloads 1,387 Views Citations
This article belongs to the Special Issue on Pricing Strategy, Model and Price Analysis
Combined Optimal Stopping and Mixed Regular-Singular Control of Jump Diffusions (Articles)

Charles Kusaya, Memory Mandiudza, Nicholas Mwareya, Confess Matete, Leonard Shambira, Nyashadzashe Ngaza

Journal of Mathematical Finance Vol.11 No.2, April 1, 2021

DOI: 10.4236/jmf.2021.112010 582 Downloads 1,506 Views Citations
Option Pricing Model with Transaction Costs and Jumps in Illiquid Markets (Articles)

Praewnapa Seelama, Dawud Thongtha

Journal of Mathematical Finance Vol.11 No.3, June 10, 2021

DOI: 10.4236/jmf.2021.113020 588 Downloads 2,558 Views Citations
This article belongs to the Special Issue on Stochastic and Financial Mathematics
Game Russian Options for Double Exponential Jump Diffusion Processes (Articles)

Atsuo Suzuki, Katsushige Sawaki

Journal of Mathematical Finance Vol.4 No.1, January 21, 2014

DOI: 10.4236/jmf.2014.41005 4,449 Downloads 6,870 Views Citations
This article belongs to the Special Issue on Option Pricing Research
Analysis of Nonlinear Stochastic Systems with Jumps Generated by Erlang Flow of Events (Articles)

Alexander S. Kozhevnikov, Konstantin A. Rybakov

Open Journal of Applied Sciences Vol.3 No.1, March 29, 2013

DOI: 10.4236/ojapps.2013.31001 4,242 Downloads 7,639 Views Citations
The Pricing of Dual-Expiry Exotics with Mean Reversion and Jumps (Articles)

Kevin Z. Tong, Dongping Hou, Jianhua Guan

Journal of Mathematical Finance Vol.9 No.1, January 29, 2019

DOI: 10.4236/jmf.2019.91003 1,123 Downloads 2,546 Views Citations
Characterization of Negative Exponential Distribution through Expectation (Articles)

Milind Bhatt B.

Open Journal of Statistics Vol.3 No.5, October 9, 2013

DOI: 10.4236/ojs.2013.35042 5,395 Downloads 8,240 Views Citations
Exact Analytical and Numerical Solutions to the Time-Dependent Schrödinger Equation for a One-Dimensional Potential Exhibiting Non-Exponential Decay at All Times (Articles)

Athanasios N. Petridis, Lawrence P. Staunton, Jon Vermedahl, Marshall Luban

Journal of Modern Physics Vol.1 No.2, June 29, 2010

DOI: 10.4236/jmp.2010.12018 7,833 Downloads 13,970 Views Citations
An Information Theoretic Approach to Understanding the Micro Foundations of Macro Processes (Articles)

Sofia B. Villas-Boas, George Judge

Theoretical Economics Letters Vol.3 No.1, February 26, 2013

DOI: 10.4236/tel.2013.31008 4,654 Downloads 7,747 Views Citations
Non-Negative Integer Solutions of Two Diophantine Equations 2^x + 9^y = z² and 5^x + 9^y = z² (Articles)

Md. Al-Amin Khan, Abdur Rashid, Md. Sharif Uddin

Journal of Applied Mathematics and Physics Vol.4 No.4, April 27, 2016

DOI: 10.4236/jamp.2016.44086 2,995 Downloads 7,052 Views Citations
The Exponential Flexible Weibull Extension Distribution (Articles)

Beih S. El-Desouky, Abdelfattah Mustafa, Shamsan Al-Garash

Open Journal of Modelling and Simulation Vol.5 No.1, January 12, 2017

DOI: 10.4236/ojmsi.2017.51007 2,191 Downloads 4,918 Views Citations
Double North Pacific High in Summer (Articles)

Kern E. Kenyon

Natural Science Vol.8 No.5, May 26, 2016

DOI: 10.4236/ns.2016.85026 2,385 Downloads 3,457 Views Citations

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