Search results for "Jump diffusion"
showing 10 items of 14 documents
Quasi-elastic Neutron Scattering Investigation of the Hydrogen Surface Self-Diffusion on Polymer Electrolyte Membrane Fuel Cell Catalyst Support
2008
International audience; Quasi-elastic neutron scattering (QENS) measurements have been performed to investigate the surface selfdiffusion of hydrogen molecules. A monolayer of molecular hydrogen was adsorbed on a carbon material commonly used in polymer electrolyte membrane fuel cells, called XC-72. QENS spectra were recorded at the time-of-flight spectrometer IN5 at Institut Laue-Langevin (ILL) in Grenoble at 40, 50, 60, and 70 K. By using the Chudley & Elliott model for jump diffusion, we found the diffusion coefficient at each temperature. The logarithm of the diffusion coefficient was plotted versus the inverse of the temperature to give the coefficient in the Arrhenius equation. From t…
Incoherent quasi-elastic neutron scattering in isomeric alcohols
1992
Abstract Incoherent quasi-elastic neutron scattering (IQENS) data on liquid isomeric alcohols normal-pentanol (n-PeOH) and 2-methyl-2-butanol (2M-2BuOH) and on their mixture are presented. The diffusive motion of protons, as a function of temperature, is analyzed in the framework of the random jump diffusion model. The temperature dependence of the parameters obtained confirms the more “fragile” behaviour of the more sterically hindered 2M-2BuOH with respect to that of the linear n-PeOH.
A critical empirical study of three electricity spot price models
2012
We conduct an empirical analysis of three recently proposed and widely used models for electricity spot price process. The first model, called the jump-diffusion model, was proposed by Cartea and Figueroa (2005), and is a one-factor mean-reversion jump-diffusion model, adjusted to incorporate the most important characteristics of electricity prices. The second model, called the threshold model, was proposed by Roncoroni (2002) and further developed by Geman and Roncoroni (2006), and is an exponential Ornstein–Uhlenbeck process driven by a Brownian motion and a state-dependent compound Poisson process. It is designed to capture both statistical and pathwise properties of electricity spot pri…
A Comparison and Survey of Finite Difference Methods for Pricing American Options Under Finite Activity Jump-Diffusion Models
2012
Partial-integro differential formulations are often used for pricing American options under jump-diffusion models. A survey on such formulations and numerical methods for them is presented. A detailed description of six efficient methods based on a linear complementarity formulation and finite difference discretizations is given. Numerical experiments compare the performance of these methods for pricing American put options under finite activity jump models.
Production technologies in stochastic continuous time models
2011
Abstract Properties of dynamic stochastic general equilibrium models can be revealed by either using numerical solutions or qualitative analysis. Very precise and intuition-building results are obtained by working with models which provide closed-form solutions. Closed-form solutions are known for a large class of models some of which, however, have some undesirable features such as potentially negative output. This paper offers closed-form solutions for models which are just as tractable but do not suffer from these shortcomings.
An Iterative Method for Pricing American Options Under Jump-Diffusion Models
2011
We propose an iterative method for pricing American options under jump-diffusion models. A finite difference discretization is performed on the partial integro-differential equation, and the American option pricing problem is formulated as a linear complementarity problem (LCP). Jump-diffusion models include an integral term, which causes the resulting system to be dense. We propose an iteration to solve the LCPs efficiently and prove its convergence. Numerical examples with Kou's and Merton's jump-diffusion models show that the resulting iteration converges rapidly.
Robust and Efficient IMEX Schemes for Option Pricing under Jump-Diffusion Models
2013
We propose families of IMEX time discretization schemes for the partial integro-differential equation derived for the pricing of options under a jump diffusion process. The schemes include the families of IMEX-midpoint, IMEXCNAB and IMEX-BDF2 schemes. Each family is defined by a convex parameter c ∈ [0, 1], which divides the zeroth-order term due to the jumps between the implicit and explicit part in the time discretization. These IMEX schemes lead to tridiagonal systems, which can be solved extremely efficiently. The schemes are studied through Fourier stability analysis and numerical experiments. It is found that, under suitable assumptions and time step restrictions, the IMEX-midpoint fa…
Impact of Stock Price Jumps on Option Values
1999
Many empirical papers document the fact that the distribution of stock returns exhibits fatter tails than would be expected from a normal distribution. This might explain some of the pricing biases of the Black/Scholes model, which is] based on a normal return distribution. Given this result, alternative option pricing models should be based on one of the following three classes of return models: (1) a stationary process, such as a paretian stable or a student’s t-distribution, (2) a mixture of stationary distributions, such as two normal distributions with different means or variances, or a mixture of a diflusion and a pure jump process, or (3) a distribution such as a normal distribution …
Mössbauer investigations on glass-forming organic liquids
1992
Glycerol forms a molecular glass near 180K. Fe2+ dissolved in glycerol allows the study of the dynamics of the system by Mossbauer spectroscopy. Recently it has been shown that the Mossbauer spectra can be understood in a way consistent with the results of dielectric and ultrasonic viscoelastic relaxation measurements. A jump diffusion model of Sinqwi and Sjolander with a jump rate distribution according to Davidson and Cole allowed us to fit the Mossbauer spectra of Fe in glycerol. First attempts to compare mode coupling theory with Mossbauer spectra are reported.
An iterative method for pricing American options under jump-diffusion models
2011
We propose an iterative method for pricing American options under jump-diffusion models. A finite difference discretization is performed on the partial integro-differential equation, and the American option pricing problem is formulated as a linear complementarity problem (LCP). Jump-diffusion models include an integral term, which causes the resulting system to be dense. We propose an iteration to solve the LCPs efficiently and prove its convergence. Numerical examples with Kou@?s and Merton@?s jump-diffusion models show that the resulting iteration converges rapidly.