Results 121 to 130 of about 1,093,895 (300)
Model Dependency of the Digital Option Replication – Replication under an Incomplete Model (in English) [PDF]
The paper focuses on the replication of digital options under an incomplete model. Digital options are regularly applied in the hedging and static decomposition of many path-dependent options.
Tomáš Tichý
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A Q‐Learning Algorithm to Solve the Two‐Player Zero‐Sum Game Problem for Nonlinear Systems
International Journal of Adaptive Control and Signal Processing, Volume 39, Issue 3, Page 566-581, March 2025.A Q‐learning algorithm to solve the two‐player zero‐sum game problem for nonlinear systems. ABSTRACT This paper deals with the two‐player zero‐sum game problem, which is a bounded L2$$ {L}_2 $$‐gain robust control problem. Finding an analytical solution to the complex Hamilton‐Jacobi‐Issacs (HJI) equation is a challenging task.
Afreen Islam +2 more
wiley +1 more source
Redaksi & Pedoman Penulisan Jurnal Gamma Vol. 9, No.2, Maret 2014
, 2015 Redaksi & Pedoman Penulisan Jurnal Gamma Vol.
& Pedoman Penulisan, Redaksi
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Photodetectors for Gamma-Ray Astronomy
Photodetectors are widely employed as optical receivers to convert light into electrical signals in many applications ranging from communications to electronics, medicine, automotive, and transport.
Uliyanov, Alexey +2 more
core +1 more source
Optimal Variance Swaps Portfolios and Estimating Greeks for Variance-Gamma [PDF]
, 2011 In this dissertation, we investigate two problems: constructing optimal variance swaps portfolios and estimating Greeks for options with underlying assets following a Variance Gamma process.
Cao, Lingyan
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Advanced Engineering Materials, EarlyView.Predicting extreme defects in additive manufacturing remains a key challenge limiting its structural reliability. This study proposes a statistical framework that integrates Extreme Value Theory with advanced process indicators to explore defect–process relationships and improve the estimation of critical defect sizes. The approach provides a basis for
Muhammad Muteeb Butt +8 more
wiley +1 more source
MathematicsThis study analyzes the volatility of Bitcoin using stochastic volatility models fitted to one-minute transaction data for the BTC/USDT pair between 1 April 2023, and 31 March 2024.
Makoto Nakakita +2 more
doaj +1 more source
Advanced Engineering Materials, EarlyView.This study presents a reversible temperature sensor with high switching ratio, ∼103. The device is fabricated using PET‐ITO and carbon nanotube dispersions in alkane. Considering its application in cold chain logistics, a proof‐of‐concept with LED is showcased. Thus, a temperature drop below the threshold temperature (crystallization temperature of the
Sunil Kumar Behera +8 more
wiley +1 more source
, 2008 The Gini coefficient has proved valuable as a measure of income inequality. In cross-sectional studies of the Gini coefficient, information about the accuracy of its estimate is crucial.
Berger, Yves G.
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Variance gamma process simulation and it's parameters estimation
, 2010 Variance gamma process is a three parameter process. Variance gamma process is simulated as a gamma time-change Brownian motion and as a difference of two independent gamma processes.
Kuzmina, A. V.
core +1 more source