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, 2021
In this paper, we consider the pricing problem of forward start options in the presence of stochastic volatility and regime-switching. By making use of the measure transform technique, with the underlying price as a new numeraire, a closed-form pricing ...
Sha Lin, Xin‐Jiang He
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In this paper, we consider the pricing problem of forward start options in the presence of stochastic volatility and regime-switching. By making use of the measure transform technique, with the underlying price as a new numeraire, a closed-form pricing ...
Sha Lin, Xin‐Jiang He
semanticscholar +1 more source
Optical Fiber Communications Conference and Exhibition, 2019
We tested the accuracy of a fully-closed-form GN/EGN formula over 1,700 different fully-loaded systems. We improved it greatly through a correction that leverages the large data-set, providing an effective tool for real-time physical-layer-aware network ...
P. Poggiolini +4 more
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We tested the accuracy of a fully-closed-form GN/EGN formula over 1,700 different fully-loaded systems. We improved it greatly through a correction that leverages the large data-set, providing an effective tool for real-time physical-layer-aware network ...
P. Poggiolini +4 more
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The statistical Minkowski distances: Closed-form formula for Gaussian Mixture Models
International Conference on Geometric Science of Information, 2019The traditional Minkowski distances are induced by the corresponding Minkowski norms in real-valued vector spaces. In this work, we propose novel statistical symmetric distances based on the Minkowski's inequality for probability densities belonging to ...
F. Nielsen
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Commodity Asian Options: A Closed-Form Formula
SSRN Electronic Journal, 2007We compute an analytical expression for the moment generating function of the joint random vector consisting of a spot price and its discretely monitored average for a large class of square-root price dynamics. This result, combined with the Fourier transform pricing method proposed by Carr and Madan (1999) [Carr, P., Madan D., 1999.
Gianluca Fusai +2 more
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Close Form Pricing Formulas for CoCa CoCos
SSRN Electronic Journal, 2013Contingent Convertibles ("CoCos") are contingent capital instruments which convert into shares, or have a principal write down, if a trigger event takes place. CoCos exhibit the undesirable so-called "death-spiral effect": by actively hedging the equity risk, investors can (unintentionally) force the conversion by making the share price deteriorate and
José Manuel Corcuera +4 more
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Journal of futures markets
We consider European option pricing when the volatility of the underlying stock is stochastic and affected by economic cycles. We further assume that market liquidity risks have a significant impact on the price of the stock that is not negligible, and ...
Xin‐Jiang He, Han Chen, Sha Lin
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We consider European option pricing when the volatility of the underlying stock is stochastic and affected by economic cycles. We further assume that market liquidity risks have a significant impact on the price of the stock that is not negligible, and ...
Xin‐Jiang He, Han Chen, Sha Lin
semanticscholar +1 more source
IEEE Transactions on Circuits and Systems - II - Express Briefs, 2023
This brief proposes a correntropy-based proportionate diffusion algorithm with low computational complexity. The proportionate diffusion algorithms in the literature suffer from a high computational complexity due to the complicated calculation process ...
Fatemehsadat Hoseiniamin +3 more
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This brief proposes a correntropy-based proportionate diffusion algorithm with low computational complexity. The proportionate diffusion algorithms in the literature suffer from a high computational complexity due to the complicated calculation process ...
Fatemehsadat Hoseiniamin +3 more
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Closed form of the rotational Crofton formula
Mathematische Nachrichten, 2011AbstractThe closed form of a rotational version of the famous Crofton formula is derived. In the case where the sectioned object is a compact d‐dimensional C2 manifold with boundary, the rotational average of intrinsic volumes (total mean curvatures) measured on sections passing through a fixed point can be expressed as an integral over the boundary ...
Auneau, J. +2 more
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On the Closed-Form Weight Enumeration of Polar Codes: 1.5d -Weight Codewords
IEEE Transactions on Communications, 2023The weight distribution of an error correction code is a critical determinant of its error-correcting performance. In the case of polar codes, the minimum weight $\mathop {\mathrm {w}}\nolimits _{\min }$ (equal to the minimum distance d) is the only ...
V. Dragoi +2 more
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Macaulay and closed form duration formulas
The British Accounting Review, 1990Abstract This paper draws attention to Macaulay's closed form formula for duration and demonstrates its simple links to alternative closed form formulas for duration presented in recent years.
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