Results 151 to 160 of about 202,312 (273)

A Bertrand model with Brownian motion and behavioral errors. [PDF]

Sci Rep
Gao B, Gao X, He S.
europepmc   +1 more source

Quadratic Hedging of American Options Under GARCH Models

Journal of Futures Markets, EarlyView.
ABSTRACT American options are widely traded in financial markets, yet there is a scarcity of literature on hedging in incomplete markets. In this paper, we derive optimal hedging ratios and option values using Local Risk Minimization (LRM) and Global Risk Minimization (GRM) hedging strategies through dynamic programming.
Junmei Ma, Chen Wang, Wei Xu
wiley   +1 more source

Intelligent predictive neural network analysis of stefan blowing impacts on chemical reactive flow of Boger nanofluid with thermophoresis and brownian motion. [PDF]

Discov Nano
Shaaban SM, Elhag AB, Teklu SW, Khan I, Farkhad DR, Abbas M, Bayram M.   +6 more
europepmc   +1 more source

The Fokker-Planck equation of the superstatistical fractional Brownian motion with application to passive tracers inside cytoplasm. [PDF]

R Soc Open Sci, 2022
Runfola C, Vitali S, Pagnini G.
europepmc   +1 more source

Improving Implied Volatility Forecasts for American Options Using Neural Networks

Journal of Futures Markets, EarlyView.
ABSTRACT This paper explores the application of neural networks to improve pricing of American options. Focusing on both American and European options on the S&P 100 index from January 2016 to August 2023, we integrate neural networks to model the difference between market‐implied and model‐implied volatilities derived from the Black‐Scholes and Heston
Haitong Jiang, Emese Lazar, Miriam Marra
wiley   +1 more source

The promise and challenge of spatial inference with the full ancestral recombination graph under Brownian motion. [PDF]

G3 (Bethesda)
Deraje P, Kitchens J, Coop G, Osmond MM.
europepmc   +1 more source

Brownian Motion in Optical Tweezers, a Comparison between MD Simulations and Experimental Data in the Ballistic Regime. [PDF]

Polymers (Basel), 2023
Zembrzycki K, Pawłowska S, Pierini F, Kowalewski TA.   +3 more
europepmc   +1 more source

Time Integrals Under the Black–Scholes–Merton and Margrabe Economies

Journal of Futures Markets, EarlyView.
ABSTRACT The problem of integrating the Black, Scholes, and Merton (BSM) formula with respect to the time variable is paramount for an economist. Inspired by the real options literature, Shackleton and Wojakowski offer analytic formulae for valuing finite maturity (profit) caps and floors that are contingent on continuous flows following a lognormal ...
José Carlos Dias, Mark B. Shackleton, Fernando Correia da Silva, Rafał M. Wojakowski   +3 more
wiley   +1 more source

Expression of Concern: A novel image encryption technique using hybrid method of discrete dynamical chaotic maps and Brownian motion. [PDF]

PLoS One
PLOS One Editors.
europepmc   +1 more source

Predicting the distribution of serotonergic axons: a supercomputing simulation of reflected fractional Brownian motion in a 3D-mouse brain model. [PDF]

Front Comput Neurosci, 2023
Janušonis S, Haiman JH, Metzler R, Vojta T.   +3 more
europepmc   +1 more source