ListarGrupos de investigación por tema "Jump-diffusion models"
Mostrando ítems 1-2 de 2
-
Effects of jump-diffusion models for the house price dynamics in the pricing of fixed-rate mortgages, insurance and coinsurance
(Elsevier, 2015)[Abstract] In the pricing of fixed rate mortgages with prepayment and default options, we introduce jump-diffusion models for the house price evolution. These models take into account sudden changes in the price (jumps) ... -
Jump-diffusion models with two stochastic factors for pricing swing options in electricity markets with partial-integro differential equations
(Elsevier, 2019)[Abstract] In this paper we consider the valuation of swing options with the possibility of incorporating spikes in the underlying electricity price. This kind of contracts are modelled as path dependent options with ...