Results 21 to 30 of about 371,401 (294)
On the pricing and hedging of volatility derivatives [PDF]
, 2003 We consider the pricing of a range of volatility derivatives, including volatility and variance swaps and swaptions. Under risk-neutral valuation we provide closed-form formulae for volatility-average and variance swaps for a variety of diffusion and ...
Howison, Sam +2 more
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Impulsive partial neutral differential equations
Applied Mathematics Letters, 2006 The authors establish conditions for the existence of mild and strong solutions of a partial neutral functional-differential equation with unbounded delay of the form \[ (d/dt)(x(t)+F(t, x_t)) = Ax(t)+G(t, x_t) \] subject to pre-assigned moments of impulse effects.
Eduardo Hernández Morales +1 more
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Attractivity for neutral functional differential equations
Discrete and Continuous Dynamical Systems - B, 2013 We study the long term dynamics of non-autonomous functional di fferential equations. Namely, we establish existence results on pullback attractors for non-linear neutral functional di erential equations with time varying delays. The two main results di er in smoothness properties of delay functions.
Caraballo Garrido, Tomás, Kiss, Gábor
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Periodic solutions of a neutral impulsive differential equation
上海师范大学学报. 自然科学版, 2017 In this paper, we consider a neutral impulsive differential equation. An impulsive predatorprey model with non-monotonic functional response is investigated. Some novel sufficient conditions are obtained for the nonexistence of periodic solutions and the
Hu Mi, Xia Yonghui
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Non-equilibrium theory of the allele frequency spectrum [PDF]
, 2006 A forward diffusion equation describing the evolution of the allele frequency spectrum is presented. The influx of mutations is accounted for by imposing a suitable boundary condition.
Evans, Steven N. +2 more
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Approximation scheme of higher accuracy of differential equations of neutral type
Karpatsʹkì Matematičnì Publìkacìï, 2013 The properties of solution of initial problem for differential-dierence equation of neutral type were researched. An approximate estimate of element delay was specied by scheme ofhigher accuracy.
S. A. Pernay, I. M. Cherevko
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Knizhnik-Zamolodchikov equation and extended symmetry for stable Hall states [PDF]
, 1995 We describe a $n$ component abelian Hall fluid as a system of {\it composite bosons} moving in an average null field given by the external magnetic field and by the statistical flux tubes located at the position of the particles.
De Martino, A., Musto, R
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Oscillation and Nonoscillation for Neutral Differential Equations
Journal of Mathematical Analysis and Applications, 1993 A class of neutral differential equations is investigated. The existence of nonoscillatory positive solutions is proved. Sufficient conditions for the existence of oscillatory solutions of this problem are given.
Zhang, B.G., Yu, J.S.
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Electronic Journal of Qualitative Theory of Differential Equations, 2021 This paper examines the oscillatory behavior of solutions to a class of third-order differential equations with bounded and unbounded neutral coefficients. Sufficient conditions for all solutions to be oscillatory are given.
Ercan Tunç +3 more
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Martingale Option Pricing [PDF]
, 2007 We show that our generalization of the Black-Scholes partial differential equation (pde) for nontrivial diffusion coefficients is equivalent to a Martingale in the risk neutral discounted stock price.
Bassler, K. E. +2 more
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