Results 1 to 10 of about 919,859 (183)
A general closed-form spread option pricing formula [PDF]
SSRN Electronic Journal, 2013 We propose a new accurate method for pricing European spread options by extending the lower bound approximation of Bjerksund and Stensland (2011) beyond the classical Black–Scholes framework.
Bjerksund +30 more
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On the Jensen–Shannon Symmetrization of Distances Relying on Abstract Means
Entropy, 2019 The Jensen–Shannon divergence is a renowned bounded symmetrization of the unbounded Kullback–Leibler divergence which measures the total Kullback–Leibler divergence to the average mixture distribution.
Frank Nielsen
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Asian options with jumps: A closed form formula [PDF]
, 2013 In this article Marena, Roncoroni, and Fusai derive a closed-form formula for the fair value of call and put options written on the arithmetic average of security prices driven by jump diffusion processes displaying (possibly periodical) trend, time ...
Fusai, G., Marena, M., Roncoroni, A.
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A simple closed-form formula for the conditional moments of the Ornstein-Uhlenbeck process [PDF]
Songklanakarin Journal of Science and Technology (SJST), 2020 This paper derives a simple closed-form formula for the n th conditional moment of the Ornstein-Uhlenbeck (O-U) process, for any positive integer n. The system of recursive ordinary differential equations (ODEs) associated with the n th conditional ...
Kittisak Chumpong +2 more
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A closed-form formula for the conditional expectation of the extended CIR process [PDF]
Songklanakarin Journal of Science and Technology (SJST), 2020 This paper is an extension to a recent paper by Rujivan (2016), in which we derive a closed-form formula for the conditional expectation of the valuation process, defined by , : T s t t r s ds r u du T t T T s t
Nopporn Thamrongrat, Sanae Rujivan
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Closed-form formula for a classical system of matrix equations
Arab Journal of Basic and Applied Sciences, 2022 Keeping in view the latest development of anti-Hermitian matrix in mind, we construct some closed form formula for a classical system of matrix equations having anti-Hermitian nature in this paper.
Abdur Rehman +4 more
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Closed-form formulae for inflation correlators
Journal of High Energy Physics, 2023 Abstract We derive exact and closed-form expressions for a large class of two-point and three-point inflation correlators with the tree-level exchange of a single massive particle. The intermediate massive particle is allowed to have arbitrary mass, spin, chemical potential, and arbitrary nonderivative or derivative couplings to ...
Zhehan Qin, Zhong-Zhi Xianyu
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Closed-Form Expressions of Upper Bound for Polarization-MDCSK System
Entropy, 2023 The performance analysis of polarization M-ary differential chaos shift keying (P-MDCSK) has been expressed using a tight upper bound with the Q-function. However, evaluating the Q-function directly is not a closed expression and there has been less work
Meiyuan Miao, Lin Wang, Weikai Xu
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Closed-form pricing formula for foreign equity option with credit risk
Advances in Difference Equations, 2021 Since credit risk in the over-the-counter (OTC) market has undoubtedly become very important issue, credit risk has to be considered when the options in the OTC market are priced.
Donghyun Kim, Ji-Hun Yoon, Geonwoo Kim
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Closed forms of the Zassenhaus formula
Journal of Physics A: Mathematical and Theoretical, 2023 Abstract The Zassenhaus formula finds many applications in theoretical physics or mathematics, from fluid dynamics to differential geometry. The non-commutativity of the elements of the algebra implies that the exponential of a sum of operators cannot be expressed as the product of exponentials of operators.
Léonce Dupays, Jean-Christophe Pain
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