نتایج جستجو برای: jump diffusion model

تعداد نتایج: 2244074  

2001
Paul Glasserman Nicolas Merener

URL: www.thejournalofcomputationalfinance.com This paper develops formulas for pricing caps and swaptions in Libor market models with jumps. The arbitrage-free dynamics of this class of models were characterized in Glasserman and Kou (2003) in a framework allowing for very general jump processes. For computational purposes, it is convenient to model jump times as Poisson processes; however, the...

2006
ERIK EKSTRÖM E. EKSTRÖM

We provide bounds for perpetual American option prices in a jump diffusion model in terms ofAmerican option prices in the standardBlack–Scholesmodel. We also investigate the dependence of the bounds on different parameters of the model.

2005
Matthias Scherer

In this paper, we generalize the pure diffusion approach for structural credit risk modeling by including jumps in the firm-value process. In pure diffusion models, the probability for a solvent company to default within a small interval of time is negligible, whereas a real company may face sudden financial distress. Our generalization allows those unpredicted extremal events, raising the prob...

Journal: :Advances in Difference Equations 2021

Abstract For a stochastic COVID-19 model with jump-diffusion, we prove the existence and uniqueness of global positive solution. We also investigate some conditions for extinction persistence disease. calculate threshold epidemic system which determines or permanence disease at different intensities noises. This is denoted by ? depends on white jump The effects these noises dynamics are studied...

Journal: :Stochastic Processes and their Applications 1996

Journal: :International Journal of Computing Science and Applied Mathematics 2019

Journal: :Journal of Computational and Applied Mathematics 2021

1996
Ting Yu

We study and compare the decoherent histories approach, the environmentinduced decoherence and the localization properties of the solutions to the stochastic Schrödinger equation in quantum jump simulation and quantum state diffusion approaches, for a quantum two-level system model. We show, in particular, that there is a close connection between the decoherent histories and the quantum jump si...

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