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Option Pricing with a Levy-Type Stochastic Dynamic Model for Stock Price Process Under Semi-Markovian Structural Perturbations.

机译：半马尔可夫结构扰动下股票价格过程的Levy型随机动态模型期权定价。

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作者
Assonken, P.; Ladde, G. S.;
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年度 2015
页码 1-75
总页数 75
原文格式 PDF
正文语种 eng
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关键词
Markov processes; Calibration; Costs; Finance; Stochastic processes; Perturbations; 10005;

机译：马尔可夫过程;校准;成本;金融;随机过程;扰动; 10005;
入库时间 2022-08-29 10:47:16

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1. OPTION PRICING WITH A LEVY-TYPE STOCHASTIC DYNAMIC MODEL FOR STOCK PRICE PROCESS UNDER SEMI-MARKOVIAN STRUCTURAL PERTURBATIONS [J] . PATRICK ASSONKEN, G.S.LADDE International journal of theoretical and applied finance . 2015,第8期

机译：半马尔可夫结构扰动下价格波动过程的随机价格动态模型的期权定价
2. OPTION PRICING AND EXECUTIVE STOCK OPTION INCENTIVES: AN EMPIRICAL INVESTIGATION UNDER GENERAL ERROR DISTRIBUTION STOCHASTIC VOLATILITY MODEL [J] . MIN PAN, SHENGQIAO TANG Asia-Pacific Journal of Operational Research . 2011,第1期

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3. A Linear Regression Approach for Determining Option Pricing for Currency-Rate Diffusion Model with Dependent Stochastic Volatility, Stochastic Interest Rate, and Return Processes [J] . Raj Jagannathan Journal of Mathematical Finance . 2018,第1期

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4. The Pricing Model and VaR on European Option with the Underlying Stock Pricing Following Jump-Diffusion Model with Stochastic Interest Rate [C] . XIE Yanpeng, WANG Yuzhang, DING Changkun FRCFM;International conference on financial risk and corporate finance management . 2011

机译：带有随机利率跳-扩散模型的标的股票定价的欧洲期权定价模型和VaR
5. Pricing European stock options using stochastic and fuzzy continuous time processes. [D] . Ely, William. 2012

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6. Option pricing of weather derivatives based on a stochastic daily rainfall model with Analogue Year component [O] . Tesfahun Berhane, Nurilign Shibabaw, Gurju Awgichew, 2020

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7. Simulation and Calibration of Options Prices under a Levy-Type Stochastic Dynamic and Semi Markov Market Switching Regimes Processes [O] . Patrick Assonken, Gangaram Ladde 2016

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Option Pricing with a Levy-Type Stochastic Dynamic Model for Stock Price Process Under Semi-Markovian Structural Perturbations.

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