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Jump diffusion
OpenAlex ID:
C2779664328
Valuing American Options by Simulation: A Simple Least-Squares Approach
2001
·
Francis A. Longstaff
, Eduardo S. Schwartz
·
Review of Financial Studies
·
3,218
The valuation of options for alternative stochastic processes
1976
·
John C. Cox
, Stephen A. Ross
·
Journal of Financial Economics
·
2,935
Transform Analysis and Asset Pricing for Affine Jump-diffusions
2000
·
Darrell Duffie
, Jun Pan
, et al.
·
Econometrica
·
2,789
A Yield‐factor Model of Interest Rates
1996
·
Darrell Duffie
, Rui Kan
·
Mathematical Finance
·
2,497
A Jump-Diffusion Model for Option Pricing
2002
·
S. G. Kou
·
Management Science
·
1,894
Post-'87 crash fears in the S&P 500 futures option market
2000
·
David S. Bates
·
Journal of Econometrics
·
1,417
Numerical Methods for Stochastic Control Problems in Continuous Time
1990
·
Harold J. Kushner
·
SIAM Journal on Control and Optimization
·
1,400
Optimal dealer pricing under transactions and return uncertainty
1981
·
Thomas Ho
, Hans R. Stoll
·
Journal of Financial Economics
·
1,390
Do Stock Prices and Volatility Jump? Reconciling Evidence from Spot and Option Prices
2004
·
Bjørn Eraker
·
The Journal of Finance
·
1,115
PDF
Stochastic Methods: A Handbook for the Natural and Social Sciences
2009
·
C. W. Gardiner
·
1,048
Alternative models for stock price dynamics
2003
·
Mikhail Chernov
, A. Ronald Gallant
, et al.
·
Journal of Econometrics
·
893
Applied Stochastic Control of Jump Diffusions
2005
·
Øksendal, Bernt K. 1945-
, Sulem, Agnès
, et al.
·
Universitext
·
883
The Crash of ʼ87: Was It Expected? The Evidence from Options Markets
1991
·
DAVID S. BATES
·
The Journal of Finance
·
874
Merton, Robert C.
2010
·
Alex Hamilton Chan
·
Encyclopedia of Quantitative Finance
·
812
Diffusion in solids : fundamentals, methods, materials, diffusion-controlled processes
2007
·
H. Mehrer
·
CERN Document Server (European Organization for Nuclear Research)
·
783
Neutron Scattering from a Liquid on a Jump Diffusion Model
1961
·
C T Chudley
, R J Elliott
·
Proceedings of the Physical Society
·
738
Time-changed Lévy processes and option pricing
2003
·
Peter Carr
, Liuren Wu
·
Journal of Financial Economics
·
674
Option Pricing Under a Double Exponential Jump Diffusion Model
2004
·
S. G. Kou
, Hui Wang
·
Management Science
·
654
Numerical Methods for Stochastic Control Problems in Continuous Time
2001
·
Harold J. Kushner
, Paul Dupuis
·
Stochastic modelling and applied probability
·
654
Experimental determination of the nature of diffusive motions of water molecules at low temperatures
1985
·
J. Teixeira
, M.-C. Bellissent-Funel
, et al.
·
Physical Review A
·
639
On Jump Processes in the Foreign Exchange and Stock Markets
1988
·
Philippe Jorion
·
Review of Financial Studies
·
625
Transform Analysis and Asset Pricing for Affine Jump-Diffusions
1999
·
James Darrell Duffie
, Jun Pan
, et al.
·
SSRN Electronic Journal
·
598
Applied Stochastic Control of Jump Diffusions
2007
·
Bernt Øksendal
, Agnès Sulem
·
Springer eBooks
·
597
Derivatives: The Theory and Practice of Financial Engineering
1998
·
Paul Wilmott
·
Medical Entomology and Zoology
·
552
Applications of Malliavin calculus to Monte Carlo methods in finance
1999
·
Eric Fournié
, Jean-Michel Lasry
, et al.
·
Finance and Stochastics
·
549
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Works count:
6,930
Citation count:
102,300
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