A Numerical Method for Pricing Electricity Derivatives for Jump-Diffusion Processes Based on Continuous Time Lattices

SSRN Electronic Journal ◽

10.2139/ssrn.1018493 ◽

2008 ◽

Author(s):

Claudio Albanese ◽

Harry Lo ◽

Stathis Tompaidis

Keyword(s):

Numerical Method ◽

Continuous Time ◽

Diffusion Processes ◽

Jump Diffusion ◽

Jump Diffusion Processes ◽

Electricity Derivatives

Download Full-text

A numerical algorithm for pricing electricity derivatives for jump-diffusion processes based on continuous time lattices

European Journal of Operational Research ◽

10.1016/j.ejor.2012.04.030 ◽

2012 ◽

Vol 222 (2) ◽

pp. 361-368 ◽

Cited By ~ 10

Author(s):

Claudio Albanese ◽

Harry Lo ◽

Stathis Tompaidis

Keyword(s):

Numerical Algorithm ◽

Continuous Time ◽

Diffusion Processes ◽

Jump Diffusion ◽

Jump Diffusion Processes ◽

Electricity Derivatives

Download Full-text

A class of continuous-time portfolio selection with liability under jump-diffusion processes

International Journal of Control ◽

10.1080/00207170903015172 ◽

2009 ◽

Vol 82 (12) ◽

pp. 2277-2283 ◽

Cited By ~ 5

Author(s):

Wei Yan

Keyword(s):

Portfolio Selection ◽

Continuous Time ◽

Diffusion Processes ◽

Jump Diffusion ◽

Jump Diffusion Processes

Download Full-text

Continuous-time safety-first portfolio selection with jump-diffusion processes

International Journal of Systems Science ◽

10.1080/00207721.2010.517866 ◽

2012 ◽

Vol 43 (4) ◽

pp. 622-628 ◽

Cited By ~ 6

Author(s):

Wei Yan

Keyword(s):

Portfolio Selection ◽

Continuous Time ◽

Diffusion Processes ◽

Jump Diffusion ◽

Jump Diffusion Processes ◽

Safety First

Download Full-text

Real Options Under Jump Diffusion Processes: What Types of Jumps?

SSRN Electronic Journal ◽

10.2139/ssrn.1361576 ◽

2009 ◽

Author(s):

Xianfeng Jiang ◽

Yongdong Shi ◽

George J. Jiang

Keyword(s):

Real Options ◽

Diffusion Processes ◽

Jump Diffusion ◽

Jump Diffusion Processes

Download Full-text

Perpetual American Put with Spectrally Negative Jump - Uniform & Binomial Jump Diffusion Processes

SSRN Electronic Journal ◽

10.2139/ssrn.2543719 ◽

2014 ◽

Author(s):

Binh Thanh Dao ◽

Monique Jeanblanc ◽

Nadine Bellamy

Keyword(s):

Diffusion Processes ◽

Jump Diffusion ◽

Jump Diffusion Processes ◽

American Put ◽

Negative Jump

Download Full-text

Estimation of Jump-Diffusion Processes via Empirical Characteristic Functions

SSRN Electronic Journal ◽

10.2139/ssrn.675202 ◽

2005 ◽

Cited By ~ 5

Author(s):

Michael Rockinger ◽

Maria Semenova

Keyword(s):

Diffusion Processes ◽

Jump Diffusion ◽

Characteristic Functions ◽

Jump Diffusion Processes

Download Full-text

Pricing American Options on Jump-Diffusion Processes Using Fourier Hermite Series Expansions

SSRN Electronic Journal ◽

10.2139/ssrn.893090 ◽

2005 ◽

Cited By ~ 5

Author(s):

Carl Chiarella ◽

Andrew Ziogas

Keyword(s):

Diffusion Processes ◽

American Options ◽

Jump Diffusion ◽

Series Expansions ◽

Jump Diffusion Processes ◽

Hermite Series

Download Full-text

Jump diffusion processes and their applications in insurance and finance

Insurance Mathematics and Economics ◽

10.1016/j.insmatheco.2006.09.006 ◽

2007 ◽

Vol 41 (1) ◽

pp. 62-70 ◽

Cited By ~ 19

Author(s):

Jiwook Jang

Keyword(s):

Diffusion Processes ◽

Jump Diffusion ◽

Jump Diffusion Processes

Download Full-text

Capacity expansion with exponential jump diffusion processes

Stochastics and Stochastics Reports ◽

10.1080/1045112031000155696 ◽

2003 ◽

Vol 75 (4) ◽

pp. 259-274 ◽

Cited By ~ 13

Author(s):

Hui Wang

Keyword(s):

Diffusion Processes ◽

Jump Diffusion ◽

Capacity Expansion ◽

Jump Diffusion Processes

Download Full-text

Pricing vulnerable options with correlated jump-diffusion processes depending on various states of the economy

Quantitative Finance ◽

10.1080/14697688.2015.1090623 ◽

2016 ◽

Vol 16 (7) ◽

pp. 1129-1145 ◽

Cited By ~ 6

Author(s):

Huawei Niu ◽

Dingcheng Wang

Keyword(s):

Diffusion Processes ◽

Jump Diffusion ◽

Jump Diffusion Processes ◽

Vulnerable Options

Download Full-text