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Valuing equity-linked guaranteed minimum death benefits with
European
-style
Asian
payoffs under a regime switching jump-diffusion model
期刊论文
COMMUNICATIONS IN NONLINEAR SCIENCE AND NUMERICAL SIMULATION, 2024, 卷号: 128, 页码: 19
作者:
Wang, Yayun
;
Liu, Shengda
收藏
  |  
浏览/下载:2/0
  |  
提交时间:2023/12/21
Regime-switching Levy model
Complex Fourier series method
European-style Asian option payoffs
GMDB
Pricing arithmetic Asian and Amerasian options: A diffusion operator integral expansion approach
期刊论文
JOURNAL OF FUTURES MARKETS, 2022, 页码: 25
作者:
Ding, Kailin
;
Cui, Zhenyu
;
Yang, Xiaoguang
收藏
  |  
浏览/下载:9/0
  |  
提交时间:2023/02/07
American Asian options
Asian option
diffusion operator integral
series expansion
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
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  |  
浏览/下载:6/0
  |  
提交时间:2023/02/07
Option pricing
Discrete barrier options
Jump-diffusion model
Stochastic volatility
Stochastic intensity
A Machine Learning Model to Classify Dynamic Processes in Liquid Water**
期刊论文
CHEMPHYSCHEM, 2022
作者:
Huang, Jie
;
Huang, Gang
;
Li, Shiben
收藏
  |  
浏览/下载:12/0
  |  
提交时间:2023/01/16
JUMP MECHANISM
CLUSTERS
EXCHANGE
SPECTROSCOPY
DIFFUSION
NETWORKS
CELL
A simple FORCE-type centred scheme accurate for contact discontinuities: Application to compressible Euler flows
期刊论文
COMPUTERS & FLUIDS, 2021, 卷号: 227, 页码: 16
作者:
Hu, Lijun
;
Yuan, Li
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  |  
浏览/下载:94/0
  |  
提交时间:2021/10/26
Euler equations
Centred schemes
FORCE scheme
Contact discontinuity
Carbuncle phenomenon
Boundary variation diminishing
Compensated projected Euler-Maruyama method for stochastic differential equations with superlinear jumps
期刊论文
APPLIED MATHEMATICS AND COMPUTATION, 2021, 卷号: 393, 页码: 11
作者:
Li, Min
;
Huang, Chengming
;
Chen, Ziheng
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  |  
浏览/下载:49/0
  |  
提交时间:2021/04/26
Stochastic differential equations with jumps
Compensated projected Euler-Maruyama method
Mean square convergence
C-stability
B-consistency
Dividend optimization for jump-diffusion model with solvency constraints
期刊论文
OPERATIONS RESEARCH LETTERS, 2020, 卷号: 48, 期号: 2, 页码: 170-175
作者:
Li, Yongwu
;
Li, Zhongfei
;
Wang, Shouyang
;
Xu, Zuo Quan
收藏
  |  
浏览/下载:30/0
  |  
提交时间:2020/06/30
Dividend payment
Jump-diffusion
Solvency constraints
Barrier strategy
Partial integro-differential equation
Regular Dirichlet extensions of one-dimensional Brownian motion
期刊论文
ANNALES DE L INSTITUT HENRI POINCARE-PROBABILITES ET STATISTIQUES, 2019, 卷号: 55, 期号: 4, 页码: 1815-1849
作者:
Li, Liping
;
Ying, Jiangang
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  |  
浏览/下载:13/0
  |  
提交时间:2020/05/24
Regular Dirichlet extensions
Regular Dirichlet subspaces
Trace Dirichlet forms
Diffusion processes
Option pricing based on a regime switching dividend process
期刊论文
COMMUNICATIONS IN STATISTICS-THEORY AND METHODS, 2019
作者:
Yan, HuaHui
;
Chen, Qihong
;
Shu, HuiSheng
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  |  
浏览/下载:24/0
  |  
提交时间:2019/08/22
Option pricing
hidden Markov chain
discrete dividend
regime switching
jump diffusion model
Real options under a double exponential jump-diffusion model with regime switching and partial information
期刊论文
QUANTITATIVE FINANCE, 2019, 卷号: 19, 期号: 6, 页码: 1061-1073
作者:
Luo, Pengfei
;
Xiong, Jie
;
Yang, Jinqiang
;
Yang, Zhaojun
收藏
  |  
浏览/下载:24/0
  |  
提交时间:2019/08/22
Real options
Partial information
Information value
Double exponential jump-diffusion process
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