A practical approach to semideviation and its time scaling in a jump-diffusion process

DOI10.1080/14697688.2014.952241zbMath1398.91541OpenAlexW2006572596MaRDI QIDQ4683098

Pascal Junod, R. Oeuvray

Publication date: 19 September 2018

Published in: Quantitative Finance (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1080/14697688.2014.952241

zbMATH Keywords

stochastic volatilityMCMC methodsjump diffusionsemideviationtime scaling of risk

Mathematics Subject Classification ID

Portfolio theory (91G10)

Uses Software

• R
• DEoptim

Cites Work

• The Pricing of Options and Corporate Liabilities
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• Discrete Parameter Variation: Efficient Estimation of a Switching Regression Model
• Transform Analysis and Asset Pricing for Affine Jump-diffusions
• Financial Modelling with Jump Processes
• A Closed-Form Solution for Options with Stochastic Volatility with Applications to Bond and Currency Options
• Option pricing when underlying stock returns are discontinuous
• Safety First and the Holding of Assets