Search Results - "Jump processes"

Comparison Between Mean-Variance and Monotone Mean-Variance Preferences Under Jump Diffusion and Stochastic Factor Model.

Authors: Li, Yuchen Liang, Zongxia Pang, Shunzhi

Source: Mathematics of Operations Research (INFORMS). Aug2025, Vol. 50 Issue 3, p2405-2432. 28p.

Valuation of VIX Derivatives: Incorporating Larger Spikes in Volatility-of-Volatility Dynamics.

Authors: Fan, Zheqi Ryu, Doojin Ye, Yifan

Source: Journal of Derivatives. Summer2026, Vol. 33 Issue 4, p54-80. 27p.

Fuzzy Pricing of Barrier Options with Jump Diffusion Mixed Fractional Brownian Motion.

Authors: Zhang, Weiting He, Guitian Hu, Bao Qing et al.

Source: International Journal of Fuzzy Systems. Jul2026, Vol. 28 Issue 5, p1533-1556. 24p.

Wave-like Positive Distribution in a Lattice.

Authors: Nizama, Marco Cáceres, Manuel O.

Source: Mathematics (2227-7390). Jun2026, Vol. 14 Issue 11, p1963. 14p.

Existence and uniqueness results for double jump fractional uncertain differential equations.

Authors: Bankole, Philip Ajibola Adeosun, Mabel Eruore Fadugba, Sunday Emmanuel et al.

Source: Journal of Nigerian Society of Physical Sciences. May2026, Vol. 8 Issue 2, p1-10. 10p.

Research on American Option Pricing Under the Heston Jump Diffusion Model—Based on Fourier Space Time-Stepping Method.

Authors: Zhang, Yu Wang, Shilong Li, Longsuo

Source: Mathematics (2227-7390). May2026, Vol. 14 Issue 9, p1412. 25p.

Strongly Convergent Homogeneous Approximations to Inhomogeneous Markov Jump Processes and Applications.

Authors: Bladt, Martin Peralta, Oscar

Source: Mathematics of Operations Research (INFORMS). Feb2025, Vol. 50 Issue 1, p334-355. 22p.

مدل بندی قیمت دارایی با استفاده از فرآیند CGMY تعمیم یافته با محرک تغییرات مرتبه اول.

Alternate Title: Asset price modeling using generalized CGMY process driven by first order variation.

Authors: نویده مدرسی پارسا یحیوی رضا کاظمی et al.

Source: Journal of Advanced Mathematical Modeling (JAMM). Mar2026, Vol. 16 Issue 1, p88-104. 17p.

A New Hybrid Stochastic SIS Co-Infection Model with Two Primary Strains Under Markov Regime Switching and Lévy Jumps.

Authors: Sabbar, Yassine Aldosary, Saud Fahad

Source: Mathematics (2227-7390). Feb2026, Vol. 14 Issue 3, p445. 43p.

A Quantum Jump Model of Option Pricing.

Authors: Orrell, David¹ (AUTHOR) dorrell@systemsforecasting.com

Source: Journal of Derivatives. Winter2025, Vol. 33 Issue 2, p9-27. 19p.

Neural Jumps for Option Pricing.

Authors: Zheng, Duosi Guo, Hanzhong Liu, Yanchu et al.

Source: Journal of Futures Markets. Jun2026, p1. 20p. 14 Illustrations.

A New Analytical Approach for Pricing Variance and Volatility Swaps: Incorporating Liquidity and Self‐Exciting Jumps.

Authors: He, Xin‐Jiang Yan, Dong Lin, Sha

Source: Journal of Futures Markets. Jun2026, p1. 15p. 10 Illustrations.

Jump persistence and temporal aggregation of tail risk.

Authors: Zhou, Chunyang Wu, Chongfeng Wan, Xiangwei

Source: International Journal of Forecasting. Jul2026, Vol. 42 Issue 3, p833-852. 20p.

The dynamics of correlated shocks: option pricing and estimation in a regime-switching co-jump model.

Authors: Chen, Ting-Fu He, Jie-Cao Zheng, Yuying

Source: Journal of Statistical Computation & Simulation. May2026, p1-25. 25p. 4 Illustrations.

Quasistatic response for nonequilibrium processes: evaluating the Berry potential and curvature.

Authors: Beyen, Aaron Khodabandehlou, Faezeh Maes, Christian

Source: Journal of Physics A: Mathematical & Theoretical. 2026, Vol. 59 Issue 19, p1-20. 20p.

Subjects: Jump processes, Thermodynamics, Entropy, Non-equilibrium reactions, Aharonov-Bohm effect, Geometric quantum phases, Thermodynamic functions

Nonconvex Piecewise Linear Functions: Advanced Formulations and Simple Modeling Tools.

Authors: Huchette, Joey Vielma, Juan Pablo

Source: Operations Research. Sep/Oct2023, Vol. 71 Issue 5, p1835-1856. 22p.

Jump-diffusion option pricing with non-IID jumps.

Authors: Zou, Lin Câmara, António Li, Weiping

Source: International Journal of Financial Engineering. Sep2025, Vol. 12 Issue 3, p1-46. 46p.

A New Method of Remaining Useful Lifetime Estimation for a Degradation Process with Random Jumps.

Authors: Zhuo, Yue Feng, Lei Zhang, Jianxun et al.

Source: Sensors (14248220). Aug2025, Vol. 25 Issue 15, p4534. 16p.

Detecting jumps in stochastic volatility jump-diffusion models via the power variation approach.

Authors: Chen, Zhongyu Yin, Juliang

Source: AIMS Mathematics. 2025, Vol. 10 Issue 8, p1-28. 28p.

Monte-Carlo simulation results in estimating a pure-jump Cox-Ingersoll-Ross process.

Authors: Bayraktar, Elise (AUTHOR) elise.bayraktar@univ-eiffel.fr

Source: ESAIM: Proceedings & Surveys. 2025, Vol. 79, p2-16. 15p.

Subjects: Jump processes, Lévy processes, Monte Carlo method, Scientific observation, Simulation methods & models, Stochastic processes, Parameter estimation, Statistical accuracy