Results 131 to 140 of about 22,553 (296)

Research on American Option Pricing Under the Heston Jump Diffusion Model—Based on Fourier Space Time-Stepping Method

Mathematics
American options are more complex to price than European options because they grant holders the right to exercise at any time before expiration, especially in realistic market environments that consider both stochastic volatility and asset price jumps ...
Yu Zhang, Shilong Wang, Longsuo Li
doaj   +1 more source

Exfoliated‐MoS2 Gradual Resistive Switching Devices as Artificial Synapses

Advanced Electronic Materials, EarlyView.
A vertical memristor based on untreated, exfoliated MoS2 is presented, revealing gradual resistive switching governed by Schottky barrier modulation at the MoS2/metal interface from the trapping/detrapping of charges. Furthermore, the device emulates synaptic‐like plasticity functions, including: potentiation, depression, and spike‐amplitude‐dependent ...
Deianira Fejzaj, Richard Schroedter, Thomas Mikolajick, André Heinzig   +3 more
wiley   +1 more source

On the short-time behavior of the implied volatility for jump-diffusion models with stochastic volatility [PDF]

In this paper we use Malliavin calculus techniques to obtain an expression for the short-time behavior of the at-the-money implied volatility skew for a generalization of the Bates model, where the volatility does not need to be neither a difussion, nor ...
Josep Vives, Elisa Alòs, Jorge A. León
core  

Model Selection and Testing of Conditional and Stochastic Volatility Models [PDF]

This paper focuses on the selection and comparison of alternative non-nested volatility models. We review the traditional in-sample methods commonly applied in the volatility framework, namely diagnostic checking procedures, information criteria, and ...
Caporin, M., McAleer, M.J.
core   +4 more sources

Monolithic Co‐Integration of Vertical FET and Memristor for 1T1R Cell

Advanced Electronic Materials, EarlyView.
This work demonstrates a vertically integrated one‐transistor–one‐memristor (1T1R) cell by stacking a MoS2 vertical field‐effect transistor (VFET) with a mortise–tenon‐shaped (MTS) memristor. This compact architecture not only exhibits highly uniform resistive switching characteristics but also provides a strategy for constructing densely packed ...
Fubo Jiao, Weiqi Dang, Gong‐Jie Ruan, Jiameng Sun, Xiaoyu Sun, Dehe Kong, Yinzhi Huang, Yuxuan Yuan, Qin Liu, Sicheng Chen, Long Zhao, Cong Wang, Pengfei Wang, Chen Pan, Yajun Fu, Shi‐Jun Liang   +15 more
wiley   +1 more source

A TWO FACTOR LONG MEMORY STOCHASTIC VOLATILITY MODEL [PDF]

In this paper we fit the main features of financial returns by means of a two factor long memory stochastic volatility model (2FLMSV). Volatility, which is not observable, is explained by both a short-run and a long-run factor. The first factor follows a
Helena Veiga
core  

Robust and Compatible Ferroelectric Memories with Polycrystalline TiO2 Channel for 3D Integration

Advanced Electronic Materials, EarlyView.
Robust and monolithic 3D compatible ferroelectric memories are realized using the polycrystalline TiO2 channel‐based FeFET. The review covers physical mechanisms of the TiO2 channel FeFET, quantitative benchmarking, and advanced planar/vertical architectures for monolithic 3D integration based on HfO2‐TiO2 gate stack, offering a roadmap for reliable ...
Xujin Song, Chenxi Yu, Shangze Li, Dijiang Sun, Jiajia Zhang, Haotong Zhu, Xiaomin Xiao, Xionghao Qin, Xiaoyan Liu, Xing Zhang, Jinfeng Kang   +10 more
wiley   +1 more source

On the Optimal Choice of Strike Conventions in Exchange Option Pricing

Mathematics
An important but rarely-addressed option pricing question is how to choose appropriate strikes for implied volatility inputs when pricing more exotic multi-asset derivatives.
Elisa Alòs, Michael Coulon
doaj   +1 more source

Model‐Based Time‐Modulated Write Algorithm for 1R Analog Memristive Crossbar Arrays

Advanced Electronic Materials, EarlyView.
A novel model‐based time‐modulated write algorithm efficiently programs analog 1R memristive crossbar arrays by varying pulse duration at a fixed voltage. By leveraging a physics‐based compact model and a dynamic gain mechanism, this approach overcomes device nonlinearities and parasitic effects.
Richard Schroedter, Ahmet Samil Demirkol, Ioannis Messaris, Christian Bruchatz, Eter Mgeladze, Stefan Slesazeck, Thomas Mikolajick, Ronald Tetzlaff   +7 more
wiley   +1 more source

Estimation of Asymmetric Box-Cox Stochastic Volatility Models Using MCMC Simulation [PDF]

The stochastic volatility model enjoys great success in modeling the time-varying volatility of asset returns. There are several specifications for volatility including the most popular one which allows logarithmic volatility to follow an autoregressive ...
Maxwell L. King, Xibin Zhang
core