Results 31 to 40 of about 52,895 (269)
Mathematics, 2023 In this paper, we propose an enhanced model for pricing vulnerable options. Specifically, our model assumes that parameters such as interest rates, jump intensity, and asset value volatility are governed by an observable continuous-time finite-state ...
Xiangdong Liu, Zanbin Zhang
doaj +1 more source
Asian Option Pricing with Monotonous Transaction Costs under Fractional Brownian Motion
Journal of Applied Mathematics, 2013 Geometric-average Asian option pricing model with monotonous transaction cost rate under fractional Brownian motion was established. The method of partial differential equations was used to solve this model and the analytical expressions of the Asian ...
Di Pan +3 more
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Mirror and synchronous couplings of geometric Brownian motions [PDF]
Stochastic Processes and their Applications, 2014 The paper studies the question of whether the classical mirror and synchronous couplings of two Brownian motions minimise and maximise, respectively, the coupling time of the corresponding geometric Brownian motions. We establish a characterisation of the optimality of the two couplings over any finite time horizon and show that, unlike in the case of ...
Saul D. Jacka +2 more
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APPROXIMATION METHODS FOR INHOMOGENEOUS GEOMETRIC BROWNIAN MOTION [PDF]
International Journal of Theoretical and Applied Finance, 2019 We present an accurate and easy-to-compute approximation of the transition probabilities and the associated Arrow-Debreu (AD) prices for the inhomogeneous geometric Brownian motion (IGBM) model for interest rates, default intensities or volatilities. Through this procedure, dubbed exponent expansion, transition probabilities and AD prices are obtained
LUCA CAPRIOTTI +2 more
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On the integral of geometric Brownian motion [PDF]
Advances in Applied Probability, 2003 This paper studies the law of any real powers of the integral of geometric Brownian motion over finite time intervals. As its main results, an apparently new integral representation is derived and its interrelations with the integral representations for these laws originating by Yor and by Dufresne are established.
openaire +4 more sources
Number of paths versus number of basis functions in American option pricing
, 2003 An American option grants the holder the right to select the time at which to exercise the option, so pricing an American option entails solving an optimal stopping problem.
Glasserman, Paul, Yu, Bin
core +6 more sources
Delay geometric Brownian motion in financial option valuation [PDF]
, 2012 Motivated by influential work on complete stochastic volatility models, such as Hobson and Rogers [11], we introduce a model driven by a delay geometric Brownian motion (DGBM) which is described by the stochastic delay differential equation dSðtÞ ¼ mðSðt
Mao, Xuerong, Sabanis, Sotirios
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Diffusion in a weakly random Hamiltonian flow [PDF]
, 2004 We consider the motion of a particle governed by a weakly random Hamiltonian flow. We identify temporal and spatial scales on which the particle trajectory converges to a spatial Brownian motion.
Komorowski, T., Ryzhik, L.
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G-Brownian Motion as Rough Paths and Differential Equations Driven by G-Brownian Motion
, 2013 The present paper is devoted to the study of sample paths of G-Brownian motion and stochastic differential equations (SDEs) driven by G-Brownian motion from the view of rough path theory.
B.M. Hambly +24 more
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Advanced Functional Materials, EarlyView.An all‐in‐one analog AI accelerator is presented, enabling on‐chip training, weight retention, and long‐term inference acceleration. It leverages a BEOL‐integrated CMO/HfOx ReRAM array with low‐voltage operation (<1.5 V), multi‐bit capability over 32 states, low programming noise (10 nS), and near‐ideal weight transfer.
Donato Francesco Falcone +11 more
wiley +1 more source