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Jump diffusion
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1	Equivalent and absolutely continuous measure changes for jump-diffusion processes Patrick Cheridito∗ Damir Filipovi´c Add to Reading List Source URL: www.princeton.edu - Date: 2005-04-22 17:54:20
2	A Jump-Diffusion Model for Option Pricing S. G. Kou Department of Industrial Engineering and Operations Research, 312 Mudd Building, Columbia University, New York, New York 10027 Add to Reading List Source URL: www.rmi.nus.edu.sg - Date: 2003-10-31 13:22:56
3	This article was downloaded by: [On: 18 July 2016, At: 23:35 Publisher: Institute for Operations Research and the Management Sciences (INFORMS) INFORMS is located in Maryland, USA Management Science Publi Add to Reading List Source URL: www.rmi.nus.edu.sg Language: English - Date: 2016-07-19 02:36:08 Statistics Mathematical finance Probability Mathematical analysis Stochastic processes Technical analysis Options Probability distributions Volatility VIX Stochastic volatility Jump diffusion
4	Threshold estimation of jump-diffusion models and interest rate modeling∗ Cecilia Mancini§ and Roberto Reno` ∗ September 15, 2006 Abstract Add to Reading List Source URL: www.istfin.eco.usi.ch Language: English - Date: 2009-01-27 08:16:26 Statistical theory Estimation theory Normal distribution Bias of an estimator Maximum likelihood estimation
5	MANAGEMENT SCIENCE Vol. 57, No. 11, November 2011, pp. 2067–2081 issn eissn 11 5711 2067 http://dx.doi.orgmnsc Add to Reading List Source URL: www.rmi.nus.edu.sg Language: English - Date: 2011-12-14 17:41:48 Probability distributions Stochastic processes Options Mathematical finance Exponentials Lookback option BlackScholes model Exponential distribution Weibull distribution Normal distribution Jump diffusion Phase-type distribution
6	Electronic Companion Option Pricing under a Mixed-exponential Jump Diffusion Model Ning Cai and S. G. Kou HKUST and Columbia University A Add to Reading List Source URL: www.rmi.nus.edu.sg Language: English - Date: 2011-05-06 11:13:54 Ordinary differential equations Linear differential equation Lambert W function Normal distribution Bessel function Heat equation
7	Pricing Asian Options under a Hyper-Exponential Jump Diffusion Model Ning Cai1 and S. G. Kou2 Room 5521, Department of IELM, HKUSTMudd Building, Department of IEOR, Columbia University Add to Reading List Source URL: www.rmi.nus.edu.sg Language: English - Date: 2011-06-08 15:04:44
8	Fourth Order Compact Scheme with Local Mesh Refinement for Option Pricing in Jump-Diffusion Model ∗ Spike T. Lee† Hai-Wei Sun‡ Add to Reading List Source URL: www.cis.umac.mo Language: English - Date: 2012-08-22 00:37:09
9	Structural estimation of jump-diffusion processes in macroeconomics Olaf Posch∗ Aarhus University and CREATES June 2009 Add to Reading List Source URL: www.oposch.com Language: English - Date: 2009-07-06 05:32:31
10	A SIMPLE OPTION FORMULA FOR GENERAL JUMP-DIFFUSION AND OTHER EXPONENTIAL LÉVY PROCESSES ALAN L. LEWIS* Envision Financial Systems and OptionCity.net Add to Reading List Source URL: www.optioncity.net Language: English - Date: 2002-01-19 18:41:38 Probability theory Lévy process Characteristic function Normal distribution Methods of contour integration Fourier transform Gamma process Martingale Brownian motion Statistics Stochastic processes Mathematical analysis

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