최소 단어 이상 선택하여야 합니다.
최대 10 단어까지만 선택 가능합니다.
다음과 같은 기능을 한번의 로그인으로 사용 할 수 있습니다.
NTIS 바로가기응용통계연구 = The Korean journal of applied statistics, v.29 no.1, 2016년, pp.99 - 112
이영은 (연세대학교 응용통계학과) , 박태영 (연세대학교 응용통계학과)
Asymmetric jump-diffusion models are effectively used to model the dynamic behavior of asset prices with abrupt asymmetric upward and downward changes. However, the estimation of their extension to the multivariate asymmetric jump-diffusion model has been hampered by the analytically intractable lik...
Black, F. and Scholes, M. (1973). The pricing of options and corporate liabilities, The Journal of Political Economy, 637-654.
Duffie, D. and Pan, J. (2001). Analytical value-at-risk with jumps and credit risk, Finance and Stochastics, 5, 155-180.
Frame, S. J. and Ramezani, C. A. (2014). Bayesian estimation of asymmetric jump-diffusion processes, Annals of Financial Economics, 9, 1450008.
Gelman, A. and Rubin, D. B. (1992). Inference from iterative simulation using multiple sequences, Statistical Science, 467-472.
Heston, S. L. (1993). A closed-form solution for options with stochastic volatility with applications to bond and currency options, Review of Financial Studies, 6, 327-343
Huang, Z. and Kou, S. G. (2006). First passage times and analytical solutions for options on two assets with jump risk, Columbia University.
Hull, J. and White, A. (1987). The pricing of options on assets with stochastic volatilities, The Journal of Finance, 42, 281-300
Jacquier, E., Johannes, M., and Polson, N. (2007). MCMC maximum likelihood for latent state models, Journal of Econometrics, 137, 615-640.
Johannes, M. and Polson, N. (2002). MCMC methods for financial econometrics, The Handbook of Financial Econometrics, 65.
Kotz, S., Kozubowski, T., and Podgorski, K. (2012). The Laplace Distribution and Generalizations: A Revisit with Applications to Communications, Economics, Engineering, and Finance, Springer Science & Business Media, New York.
Kou, S. G. (2002). A jump-diffusion model for option pricing, Management Science, 48, 1086-1101.
Kou, S. G. (2007). Jump-diffusion models for asset pricing in financial engineering, Handbooks in Operations Research and Management Science, 15, 73-116
Liu, J. S. (1994). The collapsed Gibbs sampler in Bayesian computations with applications to gene regulation problem, Journal of the American Statistical Association, 89, 958-966.
Liu, J. S., Wong, W. H., and Kong, A. (1994). Covariance structure of the Gibbs sampler with applications to comparisons of estimators and augmentation schemes, Biometricka, 81, 27-40.
Liu, J. S. and Wu, Y. N. (1999). Parameter expansion for data augmentation, Journal of the American Statistical Association, 94, 1264-1274.
Meng, X.-L. and van Dyk, D. A. (1999). Seeking efficient data augmentation schemes via conditional and marginal augmentation, Biometrika, 86, 301-320.
Merton, R. C. (1976). Option pricing when underlying stock returns are discontinuous, Journal of Financial Economics, 3, 125-144.
Park, T. and Min, S. (2016). Partially collapsed Gibbs sampling for linear mixed-effects models, Communi- cations in Statistics - Simulation and Computation, 45, 165-180
Park, T. and van Dyk, D. A. (2009). Partially collapsed Gibbs samplers: Illustrations and applications, Journal of Computational and Graphical Statistics, 18, 283-305.
Ramezani, C. A. and Zeng, Y. (1998). Maximum likelihood estimation of asymmetric jump-diffusion process: Application to security prices, Working Paper, Department of Mathematics and Statistics, University of Missouri, Kansas City, Available from: http://ssrn.com/abstract606361.
Ramezani, C. A. and Zeng, Y. (2007). Maximum likelihood estimation of the double exponential jump diffusion process, Annals of Finance, 3, 487-507.
Tanner, M. A. and Wong, W. H. (1987). The calculation of posterior distributions by data augmentation, Journal of the American Statistical Association, 82, 528-540.
van Dyk, D. A. and Park, T. (2008). Partially collapsed Gibbs samplers: theory and methods, Journal of the American Statistical Association, 193, 790-796.
van Dyk, D. A. (2000). Nesting EM algorithms for computational efficiency, Statistical Sinica, 10, 203-225.
van Dyk, D. A. and Park, T. (2011). Partially collapsed Gibbs sampling and path-adaptive Metropolis-Hastings in high-energy astrophysics, Handbook of Markov Chain Monte Carlo (383-400), Chapman & Hall/CRCPress, New York.
*원문 PDF 파일 및 링크정보가 존재하지 않을 경우 KISTI DDS 시스템에서 제공하는 원문복사서비스를 사용할 수 있습니다.
오픈액세스 학술지에 출판된 논문
※ AI-Helper는 부적절한 답변을 할 수 있습니다.