-
Previous Article
LIBOR market model with stochastic volatility
- JIMO Home
- This Issue
-
Next Article
Upper bounds for ruin probabilities in an autoregressive risk model with a Markov chain interest rate
Option pricing under threshold autoregressive models by threshold Esscher transform
1. | Department of Actuarial Mathematics and Statistics, Heriot-Watt University, Edinburgh, United Kingdom |
2. | London School of Economics, United Kingdom |
3. | Department of Statistics and Actuarial Science, The University of Hong Kong, Pokfulam Road, Hong Kong, China |
[1] |
Sharif E. Guseynov, Eugene A. Kopytov, Edvin Puzinkevich. On continuous models of current stock of divisible productions. Conference Publications, 2011, 2011 (Special) : 601-613. doi: 10.3934/proc.2011.2011.601 |
[2] |
Hao-Zhe Tay, Kok-Haur Ng, You-Beng Koh, Kooi-Huat Ng. Model selection based on value-at-risk backtesting approach for GARCH-Type models. Journal of Industrial and Management Optimization, 2020, 16 (4) : 1635-1654. doi: 10.3934/jimo.2019021 |
[3] |
Junling Ma, Zhien Ma. Epidemic threshold conditions for seasonally forced SEIR models. Mathematical Biosciences & Engineering, 2006, 3 (1) : 161-172. doi: 10.3934/mbe.2006.3.161 |
[4] |
Tao Li, Suresh P. Sethi. A review of dynamic Stackelberg game models. Discrete and Continuous Dynamical Systems - B, 2017, 22 (1) : 125-159. doi: 10.3934/dcdsb.2017007 |
[5] |
Bruce D. Craven, Sardar M. N. Islam. Dynamic optimization models in finance: Some extensions to the framework, models, and computation. Journal of Industrial and Management Optimization, 2014, 10 (4) : 1129-1146. doi: 10.3934/jimo.2014.10.1129 |
[6] |
Zhuo Jin, Linyi Qian. Lookback option pricing for regime-switching jump diffusion models. Mathematical Control and Related Fields, 2015, 5 (2) : 237-258. doi: 10.3934/mcrf.2015.5.237 |
[7] |
Mauro Garavello, Benedetto Piccoli. On fluido-dynamic models for urban traffic. Networks and Heterogeneous Media, 2009, 4 (1) : 107-126. doi: 10.3934/nhm.2009.4.107 |
[8] |
P. K. Jha, R. Lipton. Finite element approximation of nonlocal dynamic fracture models. Discrete and Continuous Dynamical Systems - B, 2021, 26 (3) : 1675-1710. doi: 10.3934/dcdsb.2020178 |
[9] |
K Najarian. On stochastic stability of dynamic neural models in presence of noise. Conference Publications, 2003, 2003 (Special) : 656-663. doi: 10.3934/proc.2003.2003.656 |
[10] |
Dong-Mei Zhu, Wai-Ki Ching, Robert J. Elliott, Tak-Kuen Siu, Lianmin Zhang. Hidden Markov models with threshold effects and their applications to oil price forecasting. Journal of Industrial and Management Optimization, 2017, 13 (2) : 757-773. doi: 10.3934/jimo.2016045 |
[11] |
Zhimin Li, Tailei Zhang, Xiuqing Li. Threshold dynamics of stochastic models with time delays: A case study for Yunnan, China. Electronic Research Archive, 2021, 29 (1) : 1661-1679. doi: 10.3934/era.2020085 |
[12] |
Kunyang Song, Yuping Song, Hanchao Wang. Threshold reweighted Nadaraya–Watson estimation of jump-diffusion models. Probability, Uncertainty and Quantitative Risk, 2022, 7 (1) : 31-44. doi: 10.3934/puqr.2022003 |
[13] |
Jiapeng Liu, Ruihua Liu, Dan Ren. Investment and consumption in regime-switching models with proportional transaction costs and log utility. Mathematical Control and Related Fields, 2017, 7 (3) : 465-491. doi: 10.3934/mcrf.2017017 |
[14] |
Xu Chen, Jianping Wan. Integro-differential equations for foreign currency option prices in exponential Lévy models. Discrete and Continuous Dynamical Systems - B, 2007, 8 (3) : 529-537. doi: 10.3934/dcdsb.2007.8.529 |
[15] |
Heikki Haario, Leonid Kalachev, Marko Laine. Reduction and identification of dynamic models. Simple example: Generic receptor model. Discrete and Continuous Dynamical Systems - B, 2013, 18 (2) : 417-435. doi: 10.3934/dcdsb.2013.18.417 |
[16] |
Hari Nandan Nath, Urmila Pyakurel, Tanka Nath Dhamala, Stephan Dempe. Dynamic network flow location models and algorithms for quickest evacuation planning. Journal of Industrial and Management Optimization, 2021, 17 (5) : 2943-2970. doi: 10.3934/jimo.2020102 |
[17] |
Jingzhen Liu, Yike Wang, Ming Zhou. Utility maximization with habit formation of interaction. Journal of Industrial and Management Optimization, 2021, 17 (3) : 1451-1469. doi: 10.3934/jimo.2020029 |
[18] |
Huizi Yang, Zhanwen Yang, Shengqiang Liu. Numerical threshold of linearly implicit Euler method for nonlinear infection-age SIR models. Discrete and Continuous Dynamical Systems - B, 2022 doi: 10.3934/dcdsb.2022067 |
[19] |
Gianni Dal Maso, Flaviana Iurlano. Fracture models as $\Gamma$-limits of damage models. Communications on Pure and Applied Analysis, 2013, 12 (4) : 1657-1686. doi: 10.3934/cpaa.2013.12.1657 |
[20] |
Nicholas Westray, Harry Zheng. Constrained nonsmooth utility maximization on the positive real line. Mathematical Control and Related Fields, 2015, 5 (3) : 679-695. doi: 10.3934/mcrf.2015.5.679 |
2021 Impact Factor: 1.411
Tools
Metrics
Other articles
by authors
[Back to Top]