Results 41 to 50 of about 116,745 (301)

Model of Continuous Random Cascade Processes in Financial Markets

Frontiers in Physics, 2020
This article presents a continuous cascade model of volatility formulated as a stochastic differential equation. Two independent Brownian motions are introduced as random sources triggering the volatility cascade: one multiplicatively combines with ...
Jun-ichi Maskawa, Koji Kuroda
doaj   +1 more source

Analytical Pricing Vulnerable Options with Stochastic Volatility in a Two-Factor Stochastic Interest Rate Model

Mathematics
This paper develops an analytical pricing formula for vulnerable options with stochastic volatility under a two-factor stochastic interest rate model.
Junkee Jeon, Geonwoo Kim
doaj   +1 more source

Pricing Collar Options with Stochastic Volatility

Discrete Dynamics in Nature and Society, 2017
This paper studies collar options in a stochastic volatility economy. The underlying asset price is assumed to follow a continuous geometric Brownian motion with stochastic volatility driven by a mean-reverting process.
Pengshi Li, Jianhui Yang
doaj   +1 more source

American option pricing with stochastic volatility processes

Journal of Hebei University of Science and Technology, 2017
In order to solve the problem of option pricing more perfectly, the option pricing problem with Heston stochastic volatility model is considered. The optimal implementation boundary of American option and the conditions for its early execution are ...
Ping LI, Jianhui LI
doaj   +1 more source

“Exact” and Approximate Methods for Bayesian Inference: Stochastic Volatility Case Study

Entropy, 2021
We conduct a case study in which we empirically illustrate the performance of different classes of Bayesian inference methods to estimate stochastic volatility models.
Yuliya Shapovalova
doaj   +1 more source

Shape-constrained semiparametric additive stochastic volatility models

Statistical Theory and Related Fields, 2019
Nonparametric stochastic volatility models, although providing great flexibility for modelling the volatility equation, often fail to account for useful shape information.
Jiangyong Yin, Peter F. Craigmile, Xinyi Xu, Steven MacEachern   +3 more
doaj   +1 more source

Valuing European Option Under Double 3/2-Volatility Jump-Diffusion Model With Stochastic Interest Rate and Stochastic Intensity Under Approximative Fractional Brownian Motion

International Journal of Analysis and Applications, 2023
In this study, we propose a more comprehensive and realistic option pricing model based on approximative fractional Brownian motion, building upon recent advancements in this area.
Siham Bayad, Abdelmajid El Hajaj, Khalid Hilal   +2 more
doaj   +1 more source

Switching to non-affine stochastic volatility: A closed-form expansion for the Inverse Gamma model

, 2016
This paper introduces the Inverse Gamma (IGa) stochastic volatility model with time-dependent parameters, defined by the volatility dynamics $dV_{t}=\kappa_{t}\left(\theta_{t}-V_{t}\right)dt+\lambda_{t}V_{t}dB_{t}$.
Langrené, Nicolas, Lee, Geoffrey, Zhu, Zili   +2 more
core   +2 more sources

Intermediate Resistive State in Wafer‐Scale Vertical MoS2 Memristors Through Lateral Silver Filament Growth for Artificial Synapse Applications

Advanced Functional Materials, EarlyView.
In MOCVD MoS2 memristors, a current compliance‐regulated Ag filament mechanism is revealed. The filament ruptures spontaneously during volatile switching, while subsequent growth proceeds vertically through the MoS2 layers and then laterally along the van der Waals gaps during nonvolatile switching.
Yuan Fa, Milan Buttberg, Ke Ran, Rana Walied Ahmad, Dennis Braun, Lukas Völkel, Jimin Lee, Sofía Cruces, Bart Macco, Bárbara Canto, Holger Lerch, Thorsten Wahlbrink, Holger Kalisch, Michael Heuken, Andrei Vescan, Joachim Mayer, Zhenxing Wang, Ilia Valov, Stephan Menzel, Max C. Lemme   +19 more
wiley   +1 more source

A New Threshold Switching Device With Tunable Negative Differential Resistance Based on ErMnO3 Polymorphs

Advanced Functional Materials, EarlyView.
Polymorph engineering in ErMnO3 enables low‐voltage, forming‐free threshold switching with tunable negative differential resistance. Conducting orthorhombic regions embedded in an insulating hexagonal matrix provide controlled Joule‐heating‐enhanced Poole–Frenkel transport. The hexagonal phase prevents excessive heating and breakdown.
Rong Wu, Florian Maudet, Thanh Luan Phan, Wassim Hamouda, Richard Schroedter, Ahmet Samil Demirkol, Ronald Tetzlaff, Veeresh Deshpande, Catherine Dubourdieu   +8 more
wiley   +1 more source