Results 61 to 70 of about 257,172 (325)

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

A SHARP MAXIMAL INEQUALITY FOR A GEOMETRIC BROWNIAN MOTION [PDF]

Taiwanese Journal of Mathematics, 2015
Let $X=(X_t)_{t\geq0}$ be a geometric Brownian motion with drift $\mu$ and volatility $\sigma>0$, and let $Y=(Y_t)_{t\geq0}$ be the associated maximum process of $X$. Under certain conditions, we prove a sharp maximal inequality for the geometric Brownian motion.
openaire   +2 more sources

Light‐Fueled In‐Operando Shape Reconfiguration, Fixation, and Recovery of Magnetically Actuated Microtextured Covalent Adaptable Networks

Advanced Materials, EarlyView.
A covalent adaptable network with dynamic disulfide bonds (DS‐CAN) can rearrange its molecular topology through heating or UV irradiation. When combined with ferromagnetic particles, its photoresponsiveness at room temperature enables contactless, spatiotemporal regulation of dynamic bond exchanges during magnetomechanical actuation.
Yeomyung Yoon, Hojun Moon, Woongbi Cho, Dongwook Lee, Sohdam Jeong, Jeong Jae Wie, Chae Bin Kim   +6 more
wiley   +1 more source

Application of the Fractal Brownian Motion to the Athens Stock Exchange

Fractal and Fractional
The Athens Stock Exchange (ASE) is a dynamic financial market with complex interactions and inherent volatility. Traditional models often fall short in capturing the intricate dependencies and long memory effects observed in real-world financial data. In
John Leventides, Evangelos Melas, Costas Poulios, Maria Livada, Nick C. Poulios, Paraskevi Boufounou   +5 more
doaj   +1 more source

Interfacial Yield Stress Response in Synthetic Mucin Solutions

Advanced Materials Interfaces, EarlyView.
The solution rheology of novel synthetic mucins mimicking natural mucin domains is studied. Like many natural mucin solutions, apparent solid‐like rheology is seen. However, no bulk structural features are found to explain it. Interfacial rheology and robust modelling reveal that this arises from molecular associations at the air–water interface ...
Sumit Sunil Kumar, Travis Leadbetter, J. Brandon McClimon, Manuel A. Lema, Farhana M. Khan, Prashant K. Purohit, Adam B. Braunschweig, Robert W. Carpick   +7 more
wiley   +1 more source

A Multiscale Guide to Brownian Motion [PDF]

J. Phys. A 49, 043001 (2016), 2015
We revise the Levy's construction of Brownian motion as a simple though still rigorous approach to operate with various Gaussian processes. A Brownian path is explicitly constructed as a linear combination of wavelet-based "geometrical features" at multiple length scales with random weights.
arxiv   +1 more source

Soft ULC Microgels at the Interface Interact and Flow as Hertzian‐Like Colloids

Advanced Materials Interfaces, EarlyView.
Monolayers of soft ULC microgels, studied combining interfacial rheology, AFM and computer simulations, exhibit isoelastic points. At these points, the measured stiffness of the monolayer remains constant despite large differences in particle concentration.
José Ruiz‐Franco, Tom Höfken, Maximilian M. Schmidt, Steffen Bochenek, Emanuela Zaccarelli, Andrea Scotti   +5 more
wiley   +1 more source

A Brownian sheet martingale with the same marginals as the arithmetic average of geometric Brownian motion. [PDF]

, 2008
We construct a martingale which has the same marginals as the arithmetic average of geometric Brownian motion. This provides a short proof of the recent result due to P.
Baker, David, Yor, Marc
core   +1 more source

Geometric Brownian motion with delay: mean square characterisation [PDF]

Proceedings of the American Mathematical Society, 2008
A geometric Brownian motion with delay is the solution of a stochastic differential equation where the drift and diffusion coefficient depend linearly on the past of the solution, i.e. a linear stochastic functional differential equation. In this work the asymptotic behavior in mean square of a geometric Brownian motion with delay is completely ...
Appleby, J.A.D., Mao, X., Riedle, M.
openaire   +4 more sources

Estimation Of Tail Parameter For Geometric Brownian Motion

Al-Qadisiyah Journal of Pure Science, 2021
Right-tailed distributions are very important in many applications. There are many studies estimating the tail index. In this paper, we will estimate the tail parameter  using the three (the Direct, Bootstrap and Double Bootstrap) methods. Our aim is to illustrate the best way to estimate the -stable with  using simulation and real data for the daily ...
Muhannad F. Al-Saadony, Noor Abd Hassan
openaire   +3 more sources