Results 111 to 120 of about 141,036 (295)

Pricing Collar Options with Stochastic Volatility

Discrete Dynamics in Nature and Society, 2017
This paper studies collar options in a stochastic volatility economy. The underlying asset price is assumed to follow a continuous geometric Brownian motion with stochastic volatility driven by a mean-reverting process.
Pengshi Li, Jianhui Yang
doaj   +1 more source

Options Pricing with Arithmetic Brownian Motion and its Implication for Risk-Neutral Valuation [PDF]

Risk-neutral valuation is used widely in derivatives pricing. It is shown in this paper, however, that the naïve approach of simply setting the growth rate of the underlying security to risk-free interest rate, which happens to work for a geometric ...
Qiang Liu
core  

ANN‐Enabled Analysis of Nanoparticle Aggregation and Hall Effects on Ag‐H2O Nanofluid Flow Over a Spinning Disk With Convective Heating and Thermal Radiation

Asia-Pacific Journal of Chemical Engineering, EarlyView.
ABSTRACT The exceptional characteristics of nanofluids have turned out to be a significant development in revolutionizing heat transfer mechanisms in several electronic cooling devices and industrial manufacturing processes. The present study deals with the investigation of the second law of thermodynamics applied to the steady MHD fluid flow above a ...
Dixita Sonowal, Bidyasagar Kumbhakar
wiley   +1 more source

Bioconvective Chemically Reactive Radiative Squeezing Flow of a Casson Hybrid Nanofluid Between Two Parallel Plates Under Variable Viscosity

Asia-Pacific Journal of Chemical Engineering, EarlyView.
ABSTRACT Hybrid nanofluids, known for their superior thermal and electrical conductivity, have demonstrated remarkable potential in enhancing the heat transfer capability of conventional base fluids. This study analyzes the effects of viscous dissipation and heat radiation on two‐dimensional unsteady incompressible squeezing flow transporting hybrid ...
Hajra Batool, Dur‐e‐Shehwar Sagheer, Muhammad Sabeel Khan, Hassan Shahzad   +3 more
wiley   +1 more source

Forecasting the Financial Times Stock Exchange Bursa Malaysia Kuala Lumpur Composite Index Using Geometric Brownian Motion

Journal of Computing Research and Innovation, 2018
In Malaysia, Financial Times Stock Exchange (FTSE) of Bursa Malaysia Kuala Lumpur Composite Index (FBMKLCI) provides charts, companies’ profile and other market data to help the local and foreign investors to make decisions involving their investments ...
Teoh Yeong Kin, Suzanawati Abu Hasan, Nashni Hamdan   +2 more
doaj  

Two‐Phase Nanofluid Flow in a Non‐Newtonian Model Past a Deformable Sheet With Magnetized Environmental Effects: Statistical Modeling and ANOVA Analysis

Asia-Pacific Journal of Chemical Engineering, EarlyView.
ABSTRACT This paper presents a comprehensive numerical analysis of magnetohydrodynamic (MHD) Casson nanofluid movement over a permeable, linearly stretching sheet, integrating the contributions of non‐uniform heat generation or absorption and chemical interaction.
Manoj Kumar Sahoo, MD. Shamshuddin, Subhajit Panda, Umair Khan   +3 more
wiley   +1 more source

Asymptotic comportment of a stochastic SIQR model with mean-reverting inhomogeneous geometric Brownian motion

, 2023

openalex   +1 more source

Polymer‐Crosslinking System‐Filler Interactions in Polychloroprene Adhesives: Experimental and Molecular Modeling Insights

Journal of Applied Polymer Science, EarlyView.
The use of polychloroprene is common in elastomeric adhesives. This study highlights the possible substitution of zinc oxide curing systems to a less hazardous metal complex, also evaluating the changes that higher surface area fillers can bring to the adhesive.
Gabriel Bachega Rosa, Sandra Aparecida Coelho Mello, Lucas Sousa Madureira, Silvana Navarro Cassu   +3 more
wiley   +1 more source

On the Computation of the Survival Probability of Brownian Motion with Drift in a Closed Time Interval When the Absorbing Boundary Is a Step Function

Journal of Probability and Statistics, 2015
This paper provides explicit formulae for the probability that an arithmetic or a geometric Brownian motion will not cross an absorbing boundary defined as a step function during a finite time interval.
Tristan Guillaume
doaj   +1 more source

RECTILINEAR AND BROWNIAN MOTION FROM A RANDOM POINT IN A CONVEX REGION

Image Analysis and Stereology, 2011
A particle is projected from a point P in a subset E of a convex region H to a point Q in a uniformly random direction. The probability that Q lies in the interior of H at time t is obtained for two types of motion of the particle, rectilinear (i.e ...
Peter Ehlers, Ernest Enns, Tak Fung
doaj   +1 more source