Results 91 to 100 of about 5,237,449 (259)
A Simple Option Formula for General Jump-Diffusion and other Exponential Levy Processes [PDF]
Option values are well-known to be the integral of a discounted transition density times a payoff function; this is just martingale pricing. It's usually done in 'S-space', where S is the terminal security price.
Alan L. Lewis
core
Quasi-Self-Dual Exponential Lévy Processes [PDF]
, 2014 The important application of semistatic hedging in financial markets naturally leads to the notion of quasi--self-dual processes. The focus of our study is to give new characterizations of quasi--self-duality.
Rheinländer, Thorsten, Schmutz, Michael
core +2 more sources
Smart Cities Leading the Green Transition: Linking Open Innovation and Entrepreneurial Dynamics
Business Strategy and the Environment, EarlyView.ABSTRACT Smart cities today are vibrant spaces where technology, collaboration, and sustainability come together to shape a better future. The green transition in cities is not just about building greener infrastructure or cutting emissions. It also changes how people, institutions, and businesses think and act.
Filippo Marchesani, Nabila Abid
wiley +1 more source
Option pricing with discrete time jump processes [PDF]
In this paper we propose new option pricing models based on class of models with jump contain in the Lévy-type based models (NIG-Lévy, Merton-jump (Merton 1976) and Duan based model (Duan 2007)).
Hanjarivo Lalaharison +2 more
core
Lévy processes and Lévy copulas with an application in insurance [PDF]
, 2007 This thesis discusses Lévy processes and Lévy copulas. In connection with Lévy processes we treat some of the theory behind infinitely divisible distributions, acknowledging that the two classes are equivalent.Within the class of Lévy processes we will ...
Hunting, Martin
core
Business Strategy and the Environment, EarlyView.ABSTRACT As climate change and environmental deterioration continue to escalate due to substantial CO2 emissions, nations worldwide are implementing approaches to alleviate CO2 emissions and accomplish carbon neutrality (CNE) goals. The current study examined CNE objectives for five selected nations in Africa, spanning from 1990 to 2022.
John Wiredu +4 more
wiley +1 more source
Bitcoin Volatility and Intrinsic Time Using Double-Subordinated Lévy Processes
RisksWe propose a doubly subordinated Lévy process, the normal double inverse Gaussian (NDIG), to model the time series properties of the cryptocurrency bitcoin. By using two subordinated processes, NDIG captures both the skew and fat-tailed properties of, as
Abootaleb Shirvani +3 more
doaj +1 more source
The existence and characterisation of duality of Markov processes in the Euclidean space [PDF]
This thesis examines the existence of dualMarkov processes and presents the full characterization of Markov processes in Euclidean space equipped with the natural order (the Pareto order).
Lee, Rui Xin
core
Business Strategy and the Environment, EarlyView.ABSTRACT Social Licence to Operate (SLO) is an increasingly strategic concern in forestry, yet its evaluation remains largely qualitative. This study presents the first quantitative framework for assessing SLO in New Zealand's forestry sector, adapted from the Boutilier and Thomson model, originally developed for the mining sector.
Grace B. Villamor +2 more
wiley +1 more source
Fractional Diffusion and Lévy Processes for Financial Derivative Pricing
Proceedings of the International Conference on Applied Innovations in ITThis paper develops a joint framework for the fractional diffusion equation driven by Lévy processes within a stochastic volatility setting, serving as an extension of the classical Heston model.
Muhannad F. Al- Saadony, Nasir A. Naser
doaj +1 more source