Search Results

There are 1435 results for: content related to: Option pricing when asset returns jump interruptedly

  1. Start-up demonstration tests: models, methods and applications, with some unifications

    Applied Stochastic Models in Business and Industry

    Volume 30, Issue 4, July/August 2014, Pages: 373–413, N. Balakrishnan, M.V. Koutras and F.S. Milienos

    Article first published online : 10 JUN 2014, DOI: 10.1002/asmb.2040

  2. Some aspects of stationary characteristics and optimal control of the BMAP ∕ G − G ∕ 1 ∕ N( ∞ ) oscillating queueing system

    Applied Stochastic Models in Business and Industry

    Volume 31, Issue 2, March/April 2015, Pages: 204–230, A.D. Banik

    Article first published online : 20 FEB 2014, DOI: 10.1002/asmb.2025

  3. Goal achieving probabilities of cone-constrained mean-variance portfolios

    Applied Stochastic Models in Business and Industry

    Volume 30, Issue 5, September/October 2014, Pages: 544–572, Chantal Labbé and François Watier

    Article first published online : 9 DEC 2013, DOI: 10.1002/asmb.2002

  4. Local risk-minimization with longevity bonds

    Applied Stochastic Models in Business and Industry

    Volume 31, Issue 2, March/April 2015, Pages: 241–263, Lars Frederik Brandt Henriksen and Thomas Møller

    Article first published online : 6 MAR 2014, DOI: 10.1002/asmb.2028

  5. Uniform asymptotic estimates for ruin probabilities of renewal risk models with exponential Lévy process investment returns and dependent claims

    Applied Stochastic Models in Business and Industry

    Volume 29, Issue 3, May/June 2013, Pages: 295–313, Fenglong Guo and Dingcheng Wang

    Article first published online : 18 JUN 2012, DOI: 10.1002/asmb.1925

  6. Efficient performance evaluation of the generalized Shiryaev–Roberts detection procedure in a multi-cyclic setup

    Applied Stochastic Models in Business and Industry

    Volume 30, Issue 6, November/December 2014, Pages: 723–739, Aleksey S. Polunchenko, Grigory Sokolov and Wenyu Du

    Article first published online : 17 MAR 2014, DOI: 10.1002/asmb.2026

  7. Stochastic ordering properties for systems with dependent identically distributed components

    Applied Stochastic Models in Business and Industry

    Volume 29, Issue 3, May/June 2013, Pages: 264–278, Jorge Navarro, Yolanda del Águila, Miguel A. Sordo and Alfonso Suárez-Llorens

    Article first published online : 17 JUL 2012, DOI: 10.1002/asmb.1917

  8. On a compound Poisson risk model with dependence and in the presence of a constant dividend barrier

    Applied Stochastic Models in Business and Industry

    Volume 30, Issue 2, March/April 2014, Pages: 82–98, Hélène Cossette, Etienne Marceau and Fouad Marri

    Article first published online : 14 SEP 2012, DOI: 10.1002/asmb.1928

  9. Bayesian estimation of nonlinear equilibrium models with random coefficients

    Applied Stochastic Models in Business and Industry

    Volume 31, Issue 4, July/August 2015, Pages: 435–456, V. Brian Viard, Anne Gron and Nicholas G. Polson

    Article first published online : 4 MAY 2014, DOI: 10.1002/asmb.2036

  10. The impact of price skimming on supply and exit decisions

    Applied Stochastic Models in Business and Industry

    Volume 31, Issue 4, July/August 2015, Pages: 551–574, Ayşegül Toptal and Sıla Çetinkaya

    Article first published online : 12 AUG 2014, DOI: 10.1002/asmb.2058

  11. L1 penalty and shrinkage estimation in partially linear models with random coefficient autoregressive errors

    Applied Stochastic Models in Business and Industry

    Volume 28, Issue 3, May/June 2012, Pages: 236–250, Saber Fallahpour, S. Ejaz Ahmed and Kjell A. Doksum

    Article first published online : 15 NOV 2011, DOI: 10.1002/asmb.933

  12. Full and 1-year runoff risk in the credibility-based additive loss reserving method

    Applied Stochastic Models in Business and Industry

    Volume 28, Issue 4, July/August 2012, Pages: 362–380, Michael Merz and Mario V. Wüthrich

    Article first published online : 8 SEP 2011, DOI: 10.1002/asmb.915

  13. Multivariate risk models under heavy-tailed risks

    Applied Stochastic Models in Business and Industry

    Volume 30, Issue 3, May/June 2014, Pages: 341–360, Wei Huang, Chengguo Weng and Yi Zhang

    Article first published online : 2 MAY 2013, DOI: 10.1002/asmb.1981

  14. Multivariate conditional hazard rate functions – an overview

    Applied Stochastic Models in Business and Industry

    Volume 31, Issue 3, May/June 2015, Pages: 285–296, Moshe Shaked and J. George Shanthikumar

    Article first published online : 12 FEB 2014, DOI: 10.1002/asmb.2020

  15. Some properties and applications of cumulative Kullback–Leibler information

    Applied Stochastic Models in Business and Industry

    Volume 31, Issue 6, November/December 2015, Pages: 875–891, Antonio Di Crescenzo and Maria Longobardi

    Article first published online : 23 FEB 2015, DOI: 10.1002/asmb.2116

  16. Unsupervised anomaly detection within non-numerical sequence data by average index difference, with application to masquerade detection

    Applied Stochastic Models in Business and Industry

    Volume 30, Issue 5, September/October 2014, Pages: 632–656, Stefan Jan Skudlarek and Hirosuke Yamamoto

    Article first published online : 11 AUG 2014, DOI: 10.1002/asmb.2057

  17. Optimal investment and reinsurance policies in insurance markets under the effect of inside information

    Applied Stochastic Models in Business and Industry

    Volume 28, Issue 6, November/December 2012, Pages: 506–528, I.D. Baltas, N.E. Frangos and A.N. Yannacopoulos

    Article first published online : 14 SEP 2011, DOI: 10.1002/asmb.925

  18. Arc length asymptotics for multivariate time series

    Applied Stochastic Models in Business and Industry

    Volume 31, Issue 2, March/April 2015, Pages: 264–281, Tharanga D. Wickramarachchi, Colin Gallagher and Robert Lund

    Article first published online : 27 MAR 2014, DOI: 10.1002/asmb.2030

  19. On spatial contagion and multivariate GARCH models

    Applied Stochastic Models in Business and Industry

    Volume 30, Issue 3, May/June 2014, Pages: 303–327, Piotr Jaworski and Marcin Pitera

    Article first published online : 25 APR 2013, DOI: 10.1002/asmb.1977

  20. Diagnosing and modeling extra-binomial variation for time-dependent counts

    Applied Stochastic Models in Business and Industry

    Volume 30, Issue 5, September/October 2014, Pages: 588–608, Christian H. Weiß and Hee-Young Kim

    Article first published online : 21 NOV 2013, DOI: 10.1002/asmb.2005