Zobrazeno 1 - 10
of 26
pro vyhledávání: '"Daniel Wei-Chung Miao"'
Publikováno v:
Electronic Journal of Differential Equations, Vol 2016, Iss 189,, Pp 1-12 (2016)
In this article we consider the ordinary differential equation $$ u'' -t^{-p-1} u^p =0. $$ We show the blow-up for solutions of this equation, under certain on the initial data.
Externí odkaz:
https://doaj.org/article/1aa3545535374cdabc913ac789d2c42e
Publikováno v:
Probability in the Engineering and Informational Sciences. :1-26
This paper extends the standard double-exponential jump-diffusion (DEJD) model to allow for successive jumps to bring about different effects on the asset price process. The double-exponentially distributed jump sizes are no longer assumed to have th
Externí odkaz:
https://explore.openaire.eu/search/publication?articleId=doi_________::05778e77590073f3cfe725612a327663
https://doi.org/10.1017/s0269964822000493
https://doi.org/10.1017/s0269964822000493
Publikováno v:
Mathematical Methods of Operations Research. 94:493-528
Externí odkaz:
https://explore.openaire.eu/search/publication?articleId=doi_________::761495ebb9f31473cb1c9b1a9fb4d832
https://doi.org/10.1007/s00186-021-00763-9
https://doi.org/10.1007/s00186-021-00763-9
Publikováno v:
Methodology and Computing in Applied Probability. 22:237-265
In the literature on scan statistics, the distributions of continuous scan statistics for one-dimensional Poisson processes have been extensively studied, most of which deal with single window scan statistics under homogeneous Poisson processes. In t
Externí odkaz:
https://explore.openaire.eu/search/publication?articleId=doi_________::2ed0fab8e1f4855fe9cefd005e67c2d4
https://doi.org/10.1007/s11009-019-09704-w
https://doi.org/10.1007/s11009-019-09704-w
Publikováno v:
Applied Stochastic Models in Business and Industry. 35:681-703
Externí odkaz:
https://explore.openaire.eu/search/publication?articleId=doi_________::cd2873c62e44faea7f246baca8484738
https://doi.org/10.1002/asmb.2371
https://doi.org/10.1002/asmb.2371
Publikováno v:
Finance Research Letters. 24:113-128
This paper considers short-dated foreign equity options (FEOs) and proposes a new model for their pricing. When time to maturity is short, the possibility of seeing jumps caused by a forthcoming big event will make the return distributions of both as
Externí odkaz:
https://explore.openaire.eu/search/publication?articleId=doi_________::86ff4b58131fc7b718fc0861d642e514
https://doi.org/10.1016/j.frl.2017.07.012
https://doi.org/10.1016/j.frl.2017.07.012
Publikováno v:
Annals of Operations Research. 264:339-366
This paper extends the forward Monte-Carlo methods, which have been developed for the basic types of American options, to the valuation of American barrier options. The main advantage of these methods is that they do not require backward induction, t
Externí odkaz:
https://explore.openaire.eu/search/publication?articleId=doi_________::470370e7b85c783560bd97b7863657e2
https://doi.org/10.1007/s10479-017-2639-4
https://doi.org/10.1007/s10479-017-2639-4
Publikováno v:
Communications in Statistics - Theory and Methods. 47:953-979
This paper extends the classical jump-diffusion option pricing model to incorporate serially correlated jump sizes which have been documented in recent empirical studies. We model the series of jum...
Externí odkaz:
https://explore.openaire.eu/search/publication?articleId=doi_________::b9e957c6db1e1b66daa3ab7f9bb50867
https://doi.org/10.1080/03610926.2017.1315731
https://doi.org/10.1080/03610926.2017.1315731
Publikováno v:
Journal of Risk and Financial Management, Vol 14, Iss 241, p 241 (2021)
Journal of Risk and Financial Management
Volume 14
Issue 6
Journal of Risk and Financial Management
Volume 14
Issue 6
In this paper, we focus on two-factor lattices for general diffusion processes with state-dependent volatilities. Although it is common knowledge that branching probabilities must be between zero and one in a lattice, few methods can guarantee lattic
Externí odkaz:
https://explore.openaire.eu/search/publication?articleId=doi_dedup___::f3dcbfd3282f2e60886b8e8e382ca573
https://doi.org/10.3390/jrfm14060241
https://doi.org/10.3390/jrfm14060241
Publikováno v:
Operations Research Letters. 44:129-135
This note discusses how the never-early-exercise region of American power exchange options is influenced by the nonlinearity from its power coefficients. We consider a class of models which satisfy the power invariant property and show that early exe
Externí odkaz:
https://explore.openaire.eu/search/publication?articleId=doi_________::4bbc277781f5445a239992026f5ad0eb
https://doi.org/10.1016/j.orl.2015.12.011
https://doi.org/10.1016/j.orl.2015.12.011