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A mutually exciting rough jump-diffusion for financial modelling
This article introduces a new class of diffusive processes with rough mutually exciting jumps for modeling financial asset returns. The novel feature...
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Jump-Diffusion Models*
Market prices of financial assets often show jumps caused by unpredictable events or news. The market closing-opening is also a source of price...
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Pricing European option under the generalized fractional jump-diffusion model
The pricing problem of European option is investigated under the generalized fractional jump-diffusion model. First of all, the generalized...
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Forward Backward SDEs Systems for Utility Maximization in Jump Diffusion Models
We consider the classical problem of maximizing the expected utility of terminal net wealth with a final random liability in a simple jump-diffusion...
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Investment strategies of duopoly firms with asymmetric time-to-build under a jump-diffusion model
This paper employs a two-factor jump-diffusion model to investigate the optimal investment timing and capacity choice of the duopoly firms in the...
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Large Deviations for a Slow–Fast System with Jump-Diffusion Processes
A slow–fast system with jump-diffusion processes is considered. The large deviations are established via the weak convergence approach, which is...
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Errors in the IMEX-BDF-OS methods for pricing American style options under the jump-diffusion model
The operator splitting method has been effectively applied to jump-diffusion models, and it is also easy to implement because the differential and...
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Implicit-explicit Runge–Kutta methods for pricing financial derivatives in state-dependent regime-switching jump-diffusion models
In this paper, we have devised a novel class of implicit-explicit Runge–Kutta methods for the valuation of financial derivatives under...
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Sequential Improvement Method in Probabilistic Criteria Optimization Problems for Linear-in-State Jump Diffusion Systems
AbstractHere we study the problems of probabilistic and quantile optimization of multidimensional controllable jump diffusion. As the main tool we...
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Optimization of Stochastic Jump Diffusion Systems Nonlinear in the Control
AbstractWe consider the optimal program control problem for a stochastic state- and control-nonlinear jump diffusion system with a given performance...
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Nonparametric Two-Step Estimation of Drift Function in the Jump-Diffusion Model with Noisy Data
This paper considers a nonparametric diffusion process whose drift and diffusion coefficients are nonparametric functions of the state variable. A...
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Maximum Likelihood Estimation for a Markov-Modulated Jump-Diffusion Model
We propose a method for obtaining maximumMaximum likelihood estimates (MLEs) of a Markov-Modulated Jump-Diffusion Model (MMJDM); when the data is a...
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Pricing Discrete Barrier Options Under the Jump-Diffusion Model with Stochastic Volatility and Stochastic Intensity
This paper considers the problem of numerically evaluating discrete barrier option prices when the underlying asset follows the jump-diffusion model...
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Mean-square convergence and stability of compensated stochastic theta methods for jump-diffusion SDEs with super-linearly growing coefficients
We investigate the mean-square convergence and stability of compensated stochastic theta methods (CSTMs) for jump-diffusion stochastic differential...
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Maximum Principle for Stochastic Control System with Elephant Memory and Jump Diffusion
Motivated by a duopoly game problem, the authors study an optimal control problem where the system is driven by Brownian motion and Poisson point...
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Backward reachability approach to state-constrained stochastic optimal control problem for jump-diffusion models
In this paper, we consider the stochastic optimal control problem for jump-diffusion models with state constraints. In general, the value function of...
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Periodic solutions of hybrid jump diffusion processes
We investigate periodic solutions of regime-switching jump diffusions. We first show the well-posedness of solutions to stochastic differential...
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Linear-quadratic generalized Stackelberg games with jump-diffusion processes and related forward-backward stochastic differential equations
A kind of linear-quadratic Stackelberg games with the multilevel hierarchy driven by both Brownian motion and Poisson processes is considered. The...