Results 81 to 90 of about 1,381,228 (303)
Option Pricing in a Fractional Brownian Motion Environment [PDF]
The purpose of this paper is to obtain a fractional Black-Scholes formula for the price of an option for every t in [0,T], a fractional Black-Scholes equation and a risk-neutral valuation theorem if the underlying is driven by a fractional Brownian ...
Cipian Necula
core
Functionals of exponential Brownian motion and divided differences [PDF]
, 2011 We provide a surprising new application of classical approximation theory to a fundamental asset-pricing model of mathematical finance. Specifically, we calculate an analytic value for the correlation coefficient between exponential Brownian motion and ...
R. Brummelhuis +6 more
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Human‐in‐the‐Loop Swarms: A Bionic Swarm Approach to Real‐World Soil Mapping
Advanced Intelligent Systems, EarlyView.This article introduces the “Bionic Swarm,” a novel system that lowers the barriers to real‐world swarm validation by abstracting difficult hardware tasks to app‐guided human agents. We demonstrate the system's utility through the experimental validation of a geotechnical soil‐mapping swarm algorithm and show superior performance to baseline approaches
Petras Swissler +5 more
wiley +1 more source
Sub-fractional Brownian motion and its relation to occupation times [PDF]
We study a long-range dependence Gaussian process which we call “sub-fractional Brownian motion” (sub-fBm), because it is intermediate between Brownian motion (Bm) and fractional Brownian motion (fBm) in the sense that it has properties analogous to ...
Luis G. Gorostiza +2 more
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Confidence bands for Brownian motion and applications to Monte Carlo simulation [PDF]
, 2006 Minimal area regions are constructed for Brownian paths and perturbed Brownian paths. While the theoretical optimal region cannot be obtained in closed form, we provide practical confidence regions based on numerical approximations and local time ...
W. S. Kendall +6 more
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Riemann-Stieltjes integrals with respect to fractional Brownian motion and applications [PDF]
, 2010 In this dissertation we study Riemann-Stieltjes integrals with respect to (geometric) fractional Brownian motion, its financial counterpart and its application in estimation of quadratic variation process. From the point of view of financial mathematics,
Azmoodeh, Ehsan
core +1 more source
Fractional Brownian Motion as a Differentiable Generalized Gaussian Process [PDF]
Brownian motion can be characterized as a generalized random process and, as such, has a generalized derivative whose covariance functional is the delta function. In a similar fashion, fractional Brownian motion can be interpreted as a generalized random
Peter C.B. Phillips +1 more
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Link dimensioning for fractional Brownian input [PDF]
, 2011 This paper provides a new formula for dimensioning of a link fed by fractional Brownian input. This formula is obtained based on another new approximate result for the stationary workload distribution of a queue loaded by fractional Brownian input.
Chen, Jiongze +5 more
core +1 more source
The Pricing of Vulnerable Options in a Fractional Brownian Motion Environment
Discrete Dynamics in Nature and Society, 2015 Under the assumption of the stock price, interest rate, and default intensity obeying the stochastic differential equation driven by fractional Brownian motion, the jump-diffusion model is established for the financial market in fractional Brownian ...
Chao Wang, Shengwu Zhou, Jingyuan Yang
doaj +1 more source
Barrier Options and a Reflection Principle of the Fractional Brownian Motion [PDF]
The purpose of this paper is to obtain the price of the barrier options in a fractional Brownian motion environment in the special case of zero interest rate. As a consequence we derive a reflection principle for the fractional Brownian motion.fractional
Cipian Necula
core