An alternative option pricing model is proposed, in which the asset prices follow the jump-diffusion and exhibits mean reversion. The stochastic volatility follows the jump-diffusion with mean reversion. We find a formulation for the European-style option in terms of characteristic functions.

We present a multiscale approach to model diffusion in a crowded environment and its effect on the reaction rates. Diffusion in biological systems is often modeled by a discrete space jump process in order to capture the inherent noise of biological systems, which becomes important in the low copy number regime. To model diffusion in the crowded cell environment efficiently, we compute the jump...

In this paper we investigate the recently documented trading profits based on technical trading rules in an asset pricing framework that incorporates jump risk and time-varying risk premia. Following Brock, Lakonishok, and LeBaron (1992), we apply popular technical trading rules to the daily S&P 500 index over a long period of time. Trading profits are examined using bootstrap simulation to add...

Owing to the fluctuation of financial markets from time to time, some parameters, such as the interest rate, volatility, cannot be precisely described. Under the assumption that the risk-free rate, the volatility, and the average jump intensity are fuzzy numbers, this paper presents the jump-diffusion approach to price vulnerable options in fuzzy environments. We also provide the crisp possibil...

In pricing and hedging with financial derivatives, term structure models with jump are particularly important [1], since ignoring jumps in financial prices may cause inaccurate pricing and hedging rates [2]. Solutions of term structure model under jump-diffusion processes are justified because of movements in interest rates displaying both continuous and discontinuous behaviors [3]. Moreover, t...

This paper treats jump-diffusion processes in continuous time, with emphasis on jump-amplitude distributions, developing more appropriate models using parameter estimation for the market. The proposed method of parameter estimation is weighted least squares of the difference between theoretical and experimental bin frequencies, where the weights or reciprocal variances are chosen by the theory ...

This paper treats jump-diffusion processes in continuous time, with emphasis on the jump-amplitude distributions, developing more appropriate models using parameter estimation for the market. The proposed method of parameter estimation is weighted least squares of the difference between theoretical and experimental bin frequencies, where the weights or reciprocal variances are chosen as by the ...

We propose a general framework for studying statistics of jump-diffusion systems driven by both Brownian noise (diffusion) and a jump process with state-dependent intensity. Of particular natural interest in many physical systems are the jump locations: the system evaluated at the jump times. As an example, this could be the voltage at which a neuron fires, or the so-called ‘threshold voltage’....

At present, many cloud services are managed by using open source software, such as OpenStack and Eucalyptus, because of the unification management of data, cost reduction, quick delivery and work savings. The operation phase of cloud computing has a unique feature, such as the provisioning processes, the network-based operation and the diversity of data, because the operation phase of cloud com...