Capacity expansion with exponential jump diffusion processes

ISSN： 1045-1129

Source： Stochastics and Stochastics Reports, Vol.75, Iss.4, 2003-07, pp. : 259-274

Disclaimer: Any content in publications that violate the sovereignty, the constitution or regulations of the PRC is not accepted or approved by CNPIEC.

Previous Menu Next

Abstract

Related content

Pricing and Hedging of Lookback Options in Hyper-exponential Jump Diffusion Models

Applied Mathematical Finance, Vol. 20, Iss. 5, 2013-11 ,pp. : 489-511

Routledge Ltd

Access to resources Recommend Favorite

Implicit–explicit numerical schemes for jump–diffusion processes

By Briani Maya

CALCOLO, Vol. 44, Iss. 1, 2007-03 ,pp. : 33-57

Springer Publishing Company

Access to resources Recommend Favorite

American Call Options Under Jump-Diffusion Processes - A Fourier Transform Approach

By Chiarella Carl Ziogas Andrew

Applied Mathematical Finance, Vol. 16, Iss. 1, 2009-01 ,pp. : 37-79

Routledge Ltd

Access to resources Recommend Favorite

Viscosity Solutions for a System of Integro-PDEs and Connections to Optimal Switching and Control of Jump-Diffusion Processes

By Biswas Imran

Applied Mathematics and Optimization, Vol. 62, Iss. 1, 2010-08 ,pp. : 47-80

Springer Publishing Company

Access to resources Recommend Favorite

A fast high-order sinc-based algorithm for pricing options under jump-diffusion processes

By Liu Jun Sun Hai-Wei

International Journal of Computer Mathematics, Vol. 91, Iss. 10, 2014-10 ,pp. : 2163-2184

Taylor & Francis Ltd

Access to resources Recommend Favorite