Long term analysis of oil price forecasting based on jump-diffusion models

被引:0
|
作者
Zhang, Jin-Suo [1 ]
Jin, Hao [1 ,2 ]
Zou, Shao-Hui [1 ]
机构
[1] College of Management, Xi'an University of Science and Technology, Xi'an,710054, China
[2] College of Sciences, Xi'an University of Science and Technology, Xi'an,710054, China
关键词
D O I
暂无
中图分类号
学科分类号
摘要
32
引用
收藏
页码:67 / 74
相关论文
共 50 条
  • [1] On the calibration of local jump-diffusion asset price models
    Kindermann, S.
    Mayer, P. A.
    FINANCE AND STOCHASTICS, 2011, 15 (04) : 685 - 724
  • [2] On the calibration of local jump-diffusion asset price models
    S. Kindermann
    P. A. Mayer
    Finance and Stochastics, 2011, 15 : 685 - 724
  • [3] Portfolio problems based on jump-diffusion models
    Liu, Tiantian
    Zhao, Jun
    Zhao, Peibiao
    FILOMAT, 2012, 26 (03) : 573 - 583
  • [4] Real-world jump-diffusion term structure models
    Bruti-Liberati, Nicola
    Nikitopoulos-Sklibosios, Christina
    Platen, Eckhard
    QUANTITATIVE FINANCE, 2010, 10 (01) : 23 - 37
  • [5] Full Bayesian Analysis for a Class of Jump-Diffusion Models
    Rifo, Laura L. R.
    Torres, Soledad
    COMMUNICATIONS IN STATISTICS-THEORY AND METHODS, 2009, 38 (08) : 1262 - 1271
  • [6] A jump-diffusion particle filter for price prediction
    Ntemi, Myrsini
    Kotropoulos, Constantine
    SIGNAL PROCESSING, 2021, 183
  • [7] On the functional estimation of jump-diffusion models
    Bandi, FM
    Nguyen, TH
    JOURNAL OF ECONOMETRICS, 2003, 116 (1-2) : 293 - 328
  • [8] AMERICAN OPTIONS AND JUMP-DIFFUSION MODELS
    ZHANG, XL
    COMPTES RENDUS DE L ACADEMIE DES SCIENCES SERIE I-MATHEMATIQUE, 1993, 317 (09): : 857 - 862
  • [9] COMPUTATION OF GREEKS FOR JUMP-DIFFUSION MODELS
    Eddahbi, M'Hamed
    Ben Cherif, Sidi Mohamed Lalaoui
    Nasroallah, Abdelaziz
    INTERNATIONAL JOURNAL OF THEORETICAL AND APPLIED FINANCE, 2015, 18 (06)
  • [10] A general jump-diffusion process to price volatility derivatives
    Yan, Cheng
    Zhao, Bo
    JOURNAL OF FUTURES MARKETS, 2019, 39 (01) : 15 - 37