Results 131 to 140 of about 14,555 (148)

Pricing vulnerable European options under a two-sided jump model via Laplace transforms

open access: closedSCIENTIA SINICA Mathematica, 2015
In this paper, we propose a model for pricing the vulnerable European options when the value of the firms asset of the counterparty follows a double exponential jump-diffusion process and correlates with the underlying asset value of the option. The two-sided jump process can model sudden down and up changes in the firms asset value, which provides ...
HuaWei NIU, DingCheng WANG
  +4 more sources

Two-sided Inequalities for Laplace Transforms

open access: closedTheory of Probability & Its Applications, 1999
The author utilizes that Laplace transforms have strong relation to the probability that some integer-valued nonnegative random variable equals zero. Since, for the latter, well developed estimators such as Bonferroni-type inequalities and their quadratic extensions are available, estimators can be deduced for Laplace transforms as well.
A. M. Zubkov
openaire   +2 more sources

The two-sided laplace transform for boehmians

open access: closedIntegral Transforms and Special Functions, 1994
An extension of the two-sided Laplace transform to a space of Boehmians is denned. The extension preserves operational properties of the transform and applies to generalized functions with unbounded support which are locally of infinite order. A large class of analytic functions which are transforms of Boehmians is described.
MikusiÅ„ski, Piotr   +2 more
openaire   +3 more sources

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