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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 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:6/0
  |  
提交时间:2023/02/07
Option pricing
Discrete barrier options
Jump-diffusion model
Stochastic volatility
Stochastic intensity
Evaluating influential nodes for the Chinese energy stocks based on jump volatility spillover network
期刊论文
INTERNATIONAL REVIEW OF ECONOMICS & FINANCE, 2022, 卷号: 78, 页码: 81-94
作者:
Huang, Chuangxia
;
Zhao, Xian
;
Deng, Yunke
;
Yang, Xiaoguang
;
Yang, Xin
收藏
  |  
浏览/下载:19/0
  |  
提交时间:2022/04/02
Complex network
Chinese energy stock market
High-frequency data
Jump volatility
Entropy weight TOPSIS
Jump volatility spillover network based measurement of systemic importance of Chinese financial institutions
期刊论文
INTERNATIONAL JOURNAL OF FINANCE & ECONOMICS, 2021, 页码: 13
作者:
Yang, Xin
;
Chen, Shan
;
Liu, Hong
;
Yang, Xiaoguang
;
Huang, Chuangxia
收藏
  |  
浏览/下载:13/0
  |  
提交时间:2021/04/26
Financial institution network
jump volatility
panel data regression model
Systemic Importance of China's Financial Institutions: A Jump Volatility Spillover Network Review
期刊论文
ENTROPY, 2020, 卷号: 22, 期号: 5, 页码: 15
作者:
Yang, Xin
;
Zhao, Xian
;
Gong, Xu
;
Yang, Xiaoguang
;
Huang, Chuangxia
收藏
  |  
浏览/下载:27/0
  |  
提交时间:2020/09/23
financial institution
complex network
jump volatility
entropy weight TOPSIS
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
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  |  
浏览/下载:24/0
  |  
提交时间:2019/08/22
Real options
Partial information
Information value
Double exponential jump-diffusion process
Tip Pricing of Jump Propagation: Evidence from Spot and Options Markets
期刊论文
MANAGEMENT SCIENCE, 2019, 卷号: 65, 期号: 5, 页码: 2360-2387
作者:
Du, Du
;
Luo, Dan
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  |  
浏览/下载:19/0
  |  
提交时间:2019/08/22
jump propagation
joint pricing
option volatility skew
Hawkes jumps
Goodness-of-Fit Test in Multivariate Jump Diffusion Models
期刊论文
JOURNAL OF BUSINESS & ECONOMIC STATISTICS, 2019, 卷号: 37, 期号: 2, 页码: 275-287
作者:
Zhang, Shulin
;
Zhou, Qian M.
;
Zhu, Dongming
;
Song, Peter X. -K.
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  |  
浏览/下载:21/0
  |  
提交时间:2019/08/22
Approximate MLE
In-sample likelihood
Information matrix
Model specification test
Out-of-sample likelihood
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
Investigating the risk-return trade-off for crude oil futures using high-frequency data
期刊论文
Applied Energy, 2017, 卷号: 196, 页码: 152-161
作者:
Gong, Xu
;
Wen, Fenghua
;
Xia, X. H.*
;
Huang, Jianbai
;
Pan, Bin*
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  |  
浏览/下载:4/0
  |  
提交时间:2019/12/03
Risk-return trade-off
High-frequency data
Volatility risk
Downside risk
Jump risk
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