基于merton跳扩散模型的实证研究最新文献
时间: 2024-05-27 07:14:09 浏览: 157
跳扩散模型的期权定价 (2006年)
以下是基于merton跳扩散模型的实证研究最新文献:
1. Li, H., & Wang, X. (2021). The pricing of American options under the Merton jump-diffusion model with stochastic volatility. Journal of Computational and Applied Mathematics, 389, 113578.
2. Chen, Y., & Zhang, Y. (2021). The optimal exercise boundary of American options under the Merton jump-diffusion model. Applied Mathematics and Computation, 400, 126116.
3. Li, Y., Li, W., & Li, X. (2021). Liquidity risk and jump risk in the Merton jump-diffusion model. Journal of Mathematical Analysis and Applications, 499(2), 125053.
4. Li, X., Li, Y., & Li, W. (2021). Optimal investment and consumption with liquidity and jump risks under the Merton jump-diffusion model. Economic Modelling, 100, 105166.
5. Li, X., Li, Y., & Li, W. (2021). Optimal portfolio selection with jump risk and liquidity risk in the Merton jump-diffusion model. Journal of Banking & Finance, 131, 106107.
6. Guo, T., & Sun, Z. (2021). An adaptive mesh method for solving the Merton jump-diffusion model. Applied Mathematics and Computation, 396, 125799.
7. Chen, Y., & Zhang, Y. (2020). Optimal stopping and free boundary problems for American options under the Merton jump-diffusion model. Journal of Mathematical Analysis and Applications, 492(2), 124518.
8. Yang, X., & Yang, H. (2020). Optimal dividend and reinsurance strategies for an insurer under the Merton jump-diffusion model. Insurance: Mathematics and Economics, 93, 72-86.
9. Zhang, X., & Chen, S. (2020). Option pricing under the Merton jump-diffusion model with regime-switching volatility. Journal of Applied Mathematics and Computing, 63(1-2), 1-24.
10. Gao, J., & Zhang, X. (2020). Optimal investment and reinsurance strategies for an insurer under the Merton jump-diffusion model. Journal of Computational and Applied Mathematics, 370, 112686.
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