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Pricing Discrete Barrier Options Under the Jump-Diffusion Model with Stochastic Volatility and Stochastic Intensity
期刊论文
COMMUNICATIONS IN MATHEMATICS AND STATISTICS, 2022, 页码: 25
作者:
Duan, Pingtao
;
Liu, Yuting
;
Ma, Zhiming
收藏
  |  
浏览/下载:6/0
  |  
提交时间:2023/02/07
Option pricing
Discrete barrier options
Jump-diffusion model
Stochastic volatility
Stochastic intensity
Exploring Statistical Arbitrage Opportunities Using Machine Learning Strategy
期刊论文
COMPUTATIONAL ECONOMICS, 2021, 页码: 22
作者:
Zhan, Baoqiang
;
Zhang, Shu
;
Du, Helen S.
;
Yang, Xiaoguang
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  |  
浏览/下载:11/0
  |  
提交时间:2022/04/02
Statistical arbitrage
Cointegration
Machine learning
Opportunities exploration
Oil price shocks, investor sentiment, and asset pricing anomalies in the oil and gas industry
期刊论文
INTERNATIONAL REVIEW OF FINANCIAL ANALYSIS, 2020, 卷号: 70
作者:
Zhu, Zhaobo
;
Ji, Qiang
;
Sun, Licheng
;
Zhai, Pengxiang
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  |  
浏览/下载:23/0
  |  
提交时间:2021/01/16
RISK MEASURE OPTIMIZATION: PERCEIVED RISK AND OVERCONFIDENCE OF STRUCTURED PRODUCT INVESTORS
期刊论文
JOURNAL OF INDUSTRIAL AND MANAGEMENT OPTIMIZATION, 2019, 卷号: 15, 期号: 3, 页码: 1473-1492
作者:
Chen, Xi
;
Wang, Zongrun
;
Deng, Songhai
;
Fang, Yong
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  |  
浏览/下载:44/0
  |  
提交时间:2020/01/10
Perceived risk
overconfidence
price distribution
subjective probability
structured financial product
Asset Price Bubbles in Agricultural Commodities Futures Market
期刊论文
2019, 卷号: 36, 页码: 656-670
作者:
Liu, Huan
;
Hu, Wenxiu
;
Liu, Gang
;
Yang, Xian
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  |  
浏览/下载:6/0
  |  
提交时间:2019/12/20
Agricultural Commodities Futures Market
Asset Price Bubble
Single Asset Sentiment
Correlation-based Dynamics and Systemic Risk Measures in the Cryptocurrency Market
会议论文
Miami, FL, USA, 9-11 Nov. 2018
作者:
Jiaqi, Liang
;
Linjing, Li
;
Daniel, Zeng
;
Yunwei, Zhao
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  |  
浏览/下载:56/0
  |  
提交时间:2019/04/30
Cryptocurrency
Blockchain
Financial Market
Correlation Matrix
Asset Tree
Systemic Risk
Timing the market: the economic value of price extremes
期刊论文
Financial Innovation, 2018, 卷号: 4, 期号: 1
作者:
Xie,Haibin
;
Wang,Shouyang
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  |  
浏览/下载:14/0
  |  
提交时间:2018/11/16
Price extremes
Return decomposition
Asymmetry
Return predictability
The behavioral implications of the bilateral gamma process
期刊论文
PHYSICA A-STATISTICAL MECHANICS AND ITS APPLICATIONS, 2018, 卷号: 500, 页码: 259-264
作者:
Xie, Haibin
;
Wang, Shouyang
;
Lu, Zudi
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  |  
浏览/下载:12/0
  |  
提交时间:2018/07/30
Bilateral gamma process
Walrasian equilibrium
Asset price
Microstructure
Estimation of market prices of risks in the GARCH diffusion model
期刊论文
ECONOMIC RESEARCH-EKONOMSKA ISTRAZIVANJA, 2018, 卷号: 31, 期号: 1, 页码: 15-36
作者:
Wu, Xinyu
;
Zhou, Hailin
;
Wang, Shouyang
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  |  
浏览/下载:19/0
  |  
提交时间:2018/07/30
Market prices of risks
GARCH diffusion model
option pricing
efficient importance sampling
maximum likelihood
particle filter
Decision and Performance Analysis of a Price-Setting Manufacturer with Options under a Flexible-Cap Emission Trading Scheme (ETS)
期刊论文
Sustainability, 2018, 卷号: Vol.10 No.10, 页码: 22
作者:
Wang, S.a,b
;
Wu, Z.a
;
Yang, B.a
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  |  
浏览/下载:3/0
  |  
提交时间:2019/11/21
decision analysis
option contracts
emission trading scheme (ETS)
risk management
carbon asset management
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