Results 141 to 150 of about 37,974 (331)

Pricing European and Barrier Options in the Fractional Black-Scholes Market [PDF]

The aim of this paper is to obtain the valuation formulas for European and barrier options if the underlying of the option contract is supposed to be driven by a fractional Brownian motion with Hurst parameter greater than 0.5.
Ciprian Necula
core  

Optimal pointwise approximation of stochastic differential equations driven by fractional Brownian motion [PDF]

, 2007
Andreas Neuenkirch
openalex   +1 more source

Optimization of Microfibrillated and Nanofibrillated Cellulose Coating to Improve Performance of Paperboard Intended for Food Packaging Applications

Packaging Technology and Science, EarlyView.
This study aims to optimise the application methods of a biobased suspension of micro/nano cellulose fibrils from agro‐biomass subjected to high‐pressure homogenisation. Two methods were selected, bar coating (BC) and spray coating (SC), and were tested using an LF factorial design with 3 levels and 2 factors.
Andrea Feroce, Fabio Licciardello, Luciano Piergiovanni   +2 more
wiley   +1 more source

Direct measurement of bidirectional turbulent fluxes of atmospheric cluster ions

Quarterly Journal of the Royal Meteorological Society, EarlyView.
First direct eddy covariance measurements of vertical turbulent fluxes of atmospheric cluster ions are presented. The net turbulent flux was mostly positive for negative cluster ions (net emission of negative ions) and mostly negative for positive cluster ions (net deposition of positive ions).
Luzie Kamecke, Anke C. Nölscher, Andreas Held   +2 more
wiley   +1 more source

Well-posedness for Fractional Hardy-Hénon parabolic equations with fractional Brownian motion

Miskolc Mathematical Notes
In this paper, we consider fractional Hardy-Hénon parabolic equations driven by fractional Brownian motion.
Kexue Li
doaj   +1 more source

Data assimilation with extremum Monte Carlo methods

Quarterly Journal of the Royal Meteorological Society, EarlyView.
This study presents the extremum Monte Carlo filter as a data assimilation method and, in particular, a variant of the variational approach (three‐ and four‐dimensional variational), where the state estimates are obtained by solving an optimization problem numerically over a space of prediction functions, instead of the state space itself.
Karim Moussa, Siem Jan Koopman
wiley   +1 more source

Pricing green financial options under the mixed fractal Brownian motions with jump diffusion environment

AIMS Mathematics
To cope with severe climate change, traditional emission reduction and environmental protection measures must be supported by financial instruments. The paper investigates green financial options, measured by the green cryptocurrency (Solana) and carbon ...
Kung-Chi Chen , Kuo-Shing Chen
doaj   +1 more source

Multivariate Tests for Comparing Lifetimes of Parallel Systems

Quality and Reliability Engineering International, EarlyView.
ABSTRACT Life testing of engineering systems with dependent components requires robust multivariate methods. Parametric approaches depend on restrictive assumptions, limiting their use in complex or unknown lifetime distribution settings. This study evaluates nonparametric methods for comparing parallel system lifetimes under minimal sample ...
Niladri Chakraborty, Ahmed Maged, Maxim Finkelstein   +2 more
wiley   +1 more source

Analysis of the gradient of the solution to a stochastic heat equation\n via fractional Brownian motion [PDF]

, 2014
Mohammud Foondun, Davar Khoshnevisan, Pejman Mahboubi   +2 more
openalex   +1 more source

European Option Pricing under Sub-Fractional Brownian Motion Regime in Discrete Time [PDF]

, 2023
Zhidong Guo, Yang Liu, Linsong Dai
openalex   +1 more source