Zobrazeno 1 - 4
of 4
pro vyhledávání: '"Bounghun Bock"'
Publikováno v:
Journal of Statistical Physics. 179:789-807
In independent bond percolation on $${\mathbb {Z}}^d$$ with parameter p, if one removes the vertices of the infinite cluster (and incident edges), for which values of p does the remaining graph contain an infinite connected component? Grimmett-Holroy
Externí odkaz:
https://explore.openaire.eu/search/publication?articleId=doi_________::53f3aefe16b2f6b994b762bbb7cfd6b5
https://doi.org/10.1007/s10955-020-02558-4
https://doi.org/10.1007/s10955-020-02558-4
THE PRICING OF EUROPEAN OPTIONS UNDER THE CONSTANT ELASTICITY OF VARIANCE WITH STOCHASTIC VOLATILITY
Publikováno v:
Fluctuation and Noise Letters. 12:1350004
This paper considers a hybrid risky asset price model given by a constant elasticity of variance multiplied by a stochastic volatility factor. A multiscale analysis leads to an asymptotic pricing formula for both European vanilla option and a Barrier
Externí odkaz:
https://explore.openaire.eu/search/publication?articleId=doi_________::d95c99207547f248c612649f673908d2
https://doi.org/10.1142/s0219477513500041
https://doi.org/10.1142/s0219477513500041
Autor:
Bock, Bounghun1 (AUTHOR), Damron, Michael1 (AUTHOR) mdamron6@gatech.edu, Newman, C. M.2,3 (AUTHOR), Sidoravicius, Vladas3 (AUTHOR)
Publikováno v:
Journal of Statistical Physics. May2020, Vol. 179 Issue 3, p789-807. 19p.
Publikováno v:
Fluctuation & Noise Letters. Mar2013, Vol. 12 Issue 1, p-1. 13p.