Search Results - "JUMP processes"

Closed-form option formulas for Kou-like models.

Authors: Gardini, Matteo Sabino, Piergiacomo

Source: Quantitative Finance. Oct2025, Vol. 25 Issue 10, p1517-1534. 18p.

Subject Terms: *DERIVATIVE securities, *FINANCIAL economics, JUMP processes, MATHEMATICAL formulas, NUMERICAL analysis

People: SAMUELSON, Paul A. (Paul Anthony), 1915-2009

Variational quantum simulation of time-local quantum master equations via quantum jump.

Authors: Lan, Zhihao Liu, Jie Li, Zhenyu et al.

Source: Journal of Chemical Physics; 10/14/2025, Vol. 163 Issue 14, p1-12, 12p

Subject Terms: QUANTUM computing, SCHRODINGER equation, JUMP processes, QUANTUM theory, SCALABILITY

Forecasting the Realized Volatility of Stock Markets: The Roles of Jumps and Asymmetric Spillovers.

Authors: Al Rababaa, Abdel Razzaq Mensi, Walid McMillan, David et al.

Source: Journal of Forecasting. Jul2025, Vol. 44 Issue 4, p1294-1325. 32p.

Subject Terms: *FINANCIAL markets, *MARKET volatility, *PETROLEUM sales & prices, *FORECASTING, JUMP processes

Comparison Between Mean-Variance and Monotone Mean-Variance Preferences Under Jump Diffusion and Stochastic Factor Model.

Authors: Li, Yuchen Liang, Zongxia Pang, Shunzhi

Source: Mathematics of Operations Research. Aug2025, Vol. 50 Issue 3, p2405-2432. 28p.

Subject Terms: *DYNAMIC programming, *STOCHASTIC processes, *INVESTMENT policy, *RISK-return relationships, JUMP processes, STOCHASTIC control theory

Enhanced parameter estimation for stable SDEs with jumps via quadratic variation.

Authors: Li, Wuchen Jiang, Yunqing Xu, Jian et al.

Source: Journal of Statistical Computation & Simulation. Sep2025, Vol. 95 Issue 13, p2932-2948. 17p.

Subject Terms: *PARAMETER estimation, *STOCHASTIC processes, JUMP processes, FLUCTUATIONS (Physics), STATIONARY processes, MATHEMATICAL regularization, SMOOTHING (Numerical analysis)

Skewness and option prices under stochastic volatility models: the role of shot-noise jumps.

Authors: Lin, Wei Aschakulporn, Pakorn Ye, Yifan et al.

Source: European Journal of Finance. May2025, Vol. 31 Issue 8, p990-1017. 28p.

Subject Terms: *RATE of return on stocks, *PRICES, *STOCHASTIC models, *STOCHASTIC processes, JUMP processes

Pricing vulnerable forward starting options under a jump-diffusion model with stochastic volatility.

Authors: Yue, Shengjie Wu, Qixia Luo, Lanlan et al.

Source: Communications in Statistics: Simulation & Computation. Jun2025, p1-23. 23p. 8 Illustrations.

Subject Terms: *STOCHASTIC processes, *EMPIRICAL research, *DERIVATIVE securities, *MARKET volatility, JUMP processes, ANALYTICAL solutions, FAST Fourier transforms

Pricing Basket Spread Options With Default Risk Under GARCH‐Jump Models.

Authors: Dong, Dingding Qian, Xianda Wang, Xingchun

Source: Journal of Futures Markets. May2025, Vol. 45 Issue 5, p441-454. 14p.

Subject Terms: *DERIVATIVE securities, *CREDIT risk, *ECONOMIC models, *MONTE Carlo method, GARCH model, JUMP processes, COUNTERPARTY risk

Appraising Model Complexity in Option Pricing.

Authors: Cummins, Mark Esposito, Francesco

Source: Journal of Futures Markets. May2025, Vol. 45 Issue 5, p455-472. 18p.

Subject Terms: *MARKET volatility, *DERIVATIVE securities, *DISTRIBUTION (Probability theory), JUMP processes, STATISTICAL models

The pricing of forward start options under jump diffusion model with stochastic interest rate and stochastic volatility.

Authors: Zhang, Ruizhe Li, Cuixiang Liu, Huili

Source: Communications in Statistics: Theory & Methods. Apr2025, p1-20. 20p. 2 Illustrations.

Subject Terms: *INTEREST rates, *DERIVATIVE securities, *STOCHASTIC models, *MARKET volatility, JUMP processes, NUMERICAL analysis

Conditional Aalen–Johansen estimation.

Authors: Bladt, Martin Furrer, Christian

Source: Scandinavian Journal of Statistics. Jun2025, Vol. 52 Issue 2, p873-902. 30p.

Subject Terms: *PROBABILITY theory, ASYMPTOTIC normality, JUMP processes, CONDITIONAL probability, COUNTING

Some potential theorems for countable transient jump processes.

Authors: Tong, Zhi-Sheng Cheng, Zhi-Wen Liu, Xiu-Fang et al.

Source: Communications in Statistics: Theory & Methods. 2025, Vol. 54 Issue 10, p2980-2989. 10p.

Subject Terms: *MARKOV processes, JUMP processes, POTENTIAL energy

Forecasting VIX using realized EGARCH model with dynamic jumps.

Authors: Wu, Xinyu Pu, Junlin Wang, Yuyao

Source: Applied Economics Letters. Jun2025, Vol. 32 Issue 11, p1534-1545. 12p.

Subject Terms: *FORECASTING, DYNAMIC models, JUMP processes

Steady-state probabilities for Markov jump processes in terms of powers of the transition rate matrix.

Authors: Frezzato, Diego¹ (AUTHOR) diego.frezzato@unipd.it

Source: Journal of Chemical Physics. 6/21/2024, Vol. 160 Issue 23, p1-9. 9p.

Subject Terms: *JUMP processes, *MARKOV processes, *COMPUTER performance, *PROBABILITY theory, *THERMAL equilibrium, *LEVY processes

First-passage properties of the jump process with a drift. Two exactly solvable cases.

Authors: Burenev, Ivan N Majumdar, Satya N

Source: Journal of Physics A: Mathematical & Theoretical. 8/4/2025, Vol. 58 Issue 31, p1-51. 51p.

Subject Terms: *JUMP processes, *ABSORPTION, *STOCHASTIC processes, *LAPLACE transformation, *ASYMPTOTIC distribution, *COMPUTER simulation

A New Method of Remaining Useful Lifetime Estimation for a Degradation Process with Random Jumps.

Authors: Zhuo, Yue Feng, Lei Zhang, Jianxun et al.

Source: Sensors (14248220). Aug2025, Vol. 25 Issue 15, p4534. 16p.

Subject Terms: *REMAINING useful life, *JUMP processes, *FLUCTUATIONS (Physics), *MONTE Carlo method, *MATERIAL erosion, *CONDITION-based maintenance, *SYSTEM identification

Multivariate additive subordination with applications in finance.

Authors: Amici, Giovanni Ballotta, Laura Semeraro, Patrizia

Source: European Journal of Operational Research. Mar2025, Vol. 321 Issue 3, p1004-1020. 17p.

Subject Terms: *MONTE Carlo method, *STOCHASTIC processes, *MARKET pricing, JUMP processes, SENSITIVITY analysis

Random walk on a quadrant: mapping to a one-dimensional level-dependent Quasi-Birth-and-Death process.

Authors: Aksamit, Anna O’Reilly, Małgorzata M. Palmowski, Zbigniew

Source: Stochastic Models. Feb2025, p1-34. 34p. 10 Illustrations.

Subject Terms: *MARKOV processes, *STOCHASTIC models, *RANDOM walks, JUMP processes, TRANSIENT analysis, NEIGHBORHOODS

Strongly Convergent Homogeneous Approximations to Inhomogeneous Markov Jump Processes and Applications.

Authors: Bladt, Martin Peralta, Oscar

Source: Mathematics of Operations Research. Feb2025, Vol. 50 Issue 1, p334-355. 22p.

Subject Terms: *MARKOV processes, *PROBABILITY theory, JUMP processes, SCIENCE projects, RESEARCH awards

Reinsurance, investment and the rationality with a diffusion model approximating a jump model.

Authors: Hu, Duni Wang, Hailong

Source: Communications in Statistics: Theory & Methods. 2025, Vol. 54 Issue 4, p1008-1030. 23p.

Subject Terms: *ASSET allocation, *INSURANCE claims, *INVESTMENT policy, JUMP processes, APPROXIMATION error