Out-of-Sample Performance of Jump-Diffusion Models for Equity Indices: What the Financial Crisis Was Good for

SSRN Electronic Journal ◽

10.2139/ssrn.2021818 ◽

2013 ◽

Cited By ~ 3

Author(s):

Roman Frey ◽

Paulo Rodrigues ◽

Norman Seeger

Keyword(s):

Financial Crisis ◽

Jump Diffusion ◽

Diffusion Models ◽

Out Of Sample ◽

Good For ◽

Equity Indices

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Out-of-Sample Performance of Jump-Diffusion Models for Equity Indices: What the Financial Crisis Was Good for

SSRN Electronic Journal ◽

10.2139/ssrn.2022909 ◽

2012 ◽

Author(s):

Paulo Rodrigues ◽

Norman Seeger ◽

Roman Frey

Keyword(s):

Financial Crisis ◽

Jump Diffusion ◽

Diffusion Models ◽

Out Of Sample ◽

Good For ◽

Equity Indices

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Empirical Analysis of Affine Versus Nonaffine Variance Specifications in Jump-Diffusion Models for Equity Indices

Journal of Business and Economic Statistics ◽

10.1080/07350015.2014.922471 ◽

2015 ◽

Vol 33 (1) ◽

pp. 68-75 ◽

Cited By ~ 11

Author(s):

Katja Ignatieva ◽

Paulo Rodrigues ◽

Norman Seeger

Keyword(s):

Empirical Analysis ◽

Jump Diffusion ◽

Diffusion Models ◽

Equity Indices

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Out-of-sample density forecasts with affine jump diffusion models

Journal of Banking & Finance ◽

10.1016/j.jbankfin.2014.06.024 ◽

2014 ◽

Vol 47 ◽

pp. 74-87 ◽

Cited By ~ 8

Author(s):

Jaeho Yun

Keyword(s):

Jump Diffusion ◽

Diffusion Models ◽

Sample Density ◽

Out Of Sample ◽

Density Forecasts

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Empirical Analysis of Affine vs. Non-Affine Variance Specifications in Jump-Diffusion Models for Equity Indices

SSRN Electronic Journal ◽

10.2139/ssrn.1344226 ◽

2012 ◽

Cited By ~ 2

Author(s):

Katja Ignatieva ◽

Paulo Rodrigues ◽

Norman Seeger

Keyword(s):

Empirical Analysis ◽

Jump Diffusion ◽

Diffusion Models ◽

Equity Indices

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Implicit-Explicit Method for American Options in Jump-Diffusion Models with Stochastic Volatility

SSRN Electronic Journal ◽

10.2139/ssrn.1107646 ◽

2008 ◽

Author(s):

Svetlana I. Boyarchenko ◽

Sergei Z. Levendorskii

Keyword(s):

Stochastic Volatility ◽

American Options ◽

Jump Diffusion ◽

Diffusion Models ◽

Explicit Method

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Numerical Schemes for Pricing Asian Options Under State-Dependent Regime-Switching Jump-Diffusion Models

SSRN Electronic Journal ◽

10.2139/ssrn.2571507 ◽

2015 ◽

Author(s):

Duy-Minh Dang ◽

Duy Nguyen ◽

Granville Sewell

Keyword(s):

Regime Switching ◽

Jump Diffusion ◽

Diffusion Models ◽

Asian Options ◽

Numerical Schemes ◽

State Dependent

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Computation of the unknown volatility from integral option price observations in jump–diffusion models

Mathematics and Computers in Simulation ◽

10.1016/j.matcom.2021.05.008 ◽

2021 ◽

Author(s):

Slavi G. Georgiev ◽

Lubin G. Vulkov

Keyword(s):

Option Price ◽

Jump Diffusion ◽

Diffusion Models

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Convoluted smoothed kernel estimation for drift coefficients in jump-diffusion models

Communication in Statistics- Theory and Methods ◽

10.1080/03610926.2021.1872641 ◽

2021 ◽

pp. 1-35

Author(s):

Naiqi Liu ◽

Kunyang Song ◽

Yuping Song ◽

Xiaochen Wang

Keyword(s):

Kernel Estimation ◽

Jump Diffusion ◽

Diffusion Models ◽

Smoothed Kernel

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A time multidomain spectral method for valuing affine stochastic volatility and jump diffusion models

Communications in Nonlinear Science and Numerical Simulation ◽

10.1016/j.cnsns.2019.105159 ◽

2020 ◽

Vol 84 ◽

pp. 105159

Author(s):

Claude Rodrigue Bambe Moutsinga ◽

Edson Pindza ◽

Eben Maré

Keyword(s):

Stochastic Volatility ◽

Spectral Method ◽

Jump Diffusion ◽

Diffusion Models

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A comparative analysis of housing prices in different cities using the Black–Scholes and Jump Diffusion models

Finance Research Letters ◽

10.1016/j.frl.2021.102241 ◽

2021 ◽

pp. 102241

Author(s):

Sebeom Oh ◽

Hyejin Ku ◽

Doobae Jun

Keyword(s):

Comparative Analysis ◽

Housing Prices ◽

Jump Diffusion ◽

Diffusion Models ◽

Black Scholes

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