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Option pricing under threshold autoregressive models by threshold Esscher transform
1. | Department of Actuarial Mathematics and Statistics, Heriot-Watt University, Edinburgh, United Kingdom |
2. | London School of Economics, United Kingdom |
3. | Department of Statistics and Actuarial Science, The University of Hong Kong, Pokfulam Road, Hong Kong, China |
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P. K. Jha, R. Lipton. Finite element approximation of nonlocal dynamic fracture models. Discrete & Continuous Dynamical Systems - B, 2021, 26 (3) : 1675-1710. doi: 10.3934/dcdsb.2020178 |
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Zhimin Li, Tailei Zhang, Xiuqing Li. Threshold dynamics of stochastic models with time delays: A case study for Yunnan, China. Electronic Research Archive, 2021, 29 (1) : 1661-1679. doi: 10.3934/era.2020085 |
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Anna Abbatiello, Eduard Feireisl, Antoní Novotný. Generalized solutions to models of compressible viscous fluids. Discrete & Continuous Dynamical Systems - A, 2021, 41 (1) : 1-28. doi: 10.3934/dcds.2020345 |
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Xin Guo, Lexin Li, Qiang Wu. Modeling interactive components by coordinate kernel polynomial models. Mathematical Foundations of Computing, 2020, 3 (4) : 263-277. doi: 10.3934/mfc.2020010 |
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Urszula Ledzewicz, Heinz Schättler. On the role of pharmacometrics in mathematical models for cancer treatments. Discrete & Continuous Dynamical Systems - B, 2021, 26 (1) : 483-499. doi: 10.3934/dcdsb.2020213 |
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Wei Feng, Michael Freeze, Xin Lu. On competition models under allee effect: Asymptotic behavior and traveling waves. Communications on Pure & Applied Analysis, 2020, 19 (12) : 5609-5626. doi: 10.3934/cpaa.2020256 |
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Evelyn Sander, Thomas Wanner. Equilibrium validation in models for pattern formation based on Sobolev embeddings. Discrete & Continuous Dynamical Systems - B, 2021, 26 (1) : 603-632. doi: 10.3934/dcdsb.2020260 |
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Shigui Ruan. Nonlinear dynamics in tumor-immune system interaction models with delays. Discrete & Continuous Dynamical Systems - B, 2021, 26 (1) : 541-602. doi: 10.3934/dcdsb.2020282 |
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Eric Foxall. Boundary dynamics of the replicator equations for neutral models of cyclic dominance. Discrete & Continuous Dynamical Systems - B, 2021, 26 (2) : 1061-1082. doi: 10.3934/dcdsb.2020153 |
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Yanan Li, Zhijian Yang, Na Feng. Uniform attractors and their continuity for the non-autonomous Kirchhoff wave models. Discrete & Continuous Dynamical Systems - B, 2021 doi: 10.3934/dcdsb.2021018 |
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Yongge Tian, Pengyang Xie. Simultaneous optimal predictions under two seemingly unrelated linear random-effects models. Journal of Industrial & Management Optimization, 2020 doi: 10.3934/jimo.2020168 |
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Annegret Glitzky, Matthias Liero, Grigor Nika. Dimension reduction of thermistor models for large-area organic light-emitting diodes. Discrete & Continuous Dynamical Systems - S, 2020 doi: 10.3934/dcdss.2020460 |
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Yen-Luan Chen, Chin-Chih Chang, Zhe George Zhang, Xiaofeng Chen. Optimal preventive "maintenance-first or -last" policies with generalized imperfect maintenance models. Journal of Industrial & Management Optimization, 2021, 17 (1) : 501-516. doi: 10.3934/jimo.2020149 |
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Xueli Bai, Fang Li. Global dynamics of competition models with nonsymmetric nonlocal dispersals when one diffusion rate is small. Discrete & Continuous Dynamical Systems - A, 2020, 40 (6) : 3075-3092. doi: 10.3934/dcds.2020035 |
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Wenbin Lv, Qingyuan Wang. Global existence for a class of Keller-Segel models with signal-dependent motility and general logistic term. Evolution Equations & Control Theory, 2021, 10 (1) : 25-36. doi: 10.3934/eect.2020040 |
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Ching-Hui Wang, Sheng-Chen Fu. Traveling wave solutions to diffusive Holling-Tanner predator-prey models. Discrete & Continuous Dynamical Systems - B, 2020 doi: 10.3934/dcdsb.2021007 |
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Yu-Jhe Huang, Zhong-Fu Huang, Jonq Juang, Yu-Hao Liang. Flocking of non-identical Cucker-Smale models on general coupling network. Discrete & Continuous Dynamical Systems - B, 2021, 26 (2) : 1111-1127. doi: 10.3934/dcdsb.2020155 |
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Divine Wanduku. Finite- and multi-dimensional state representations and some fundamental asymptotic properties of a family of nonlinear multi-population models for HIV/AIDS with ART treatment and distributed delays. Discrete & Continuous Dynamical Systems - S, 2021 doi: 10.3934/dcdss.2021005 |
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Nan Zhang, Linyi Qian, Zhuo Jin, Wei Wang. Optimal stop-loss reinsurance with joint utility constraints. Journal of Industrial & Management Optimization, 2021, 17 (2) : 841-868. doi: 10.3934/jimo.2020001 |
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Laura Aquilanti, Simone Cacace, Fabio Camilli, Raul De Maio. A Mean Field Games model for finite mixtures of Bernoulli and categorical distributions. Journal of Dynamics & Games, 2020 doi: 10.3934/jdg.2020033 |
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