Zobrazeno 1 - 10
of 16
pro vyhledávání: '"Elham Dastranj"'
Publikováno v:
Journal of Asset Management and Financing, Vol 8, Iss 2, Pp 89-103 (2020)
Objective: In this paper, three types of power options under special stochastic markets have been priced. In the considered market, a risky underlying asset follows a model with two stochastic volatilities, two jumps, and a stochastic intensity measu
Externí odkaz:
https://doaj.org/article/ac4e3d1b349647ac9fce41b47e5f9af5
Publikováno v:
Kragujevac Journal of Mathematics. 44:75-88
Externí odkaz:
https://explore.openaire.eu/search/publication?articleId=doi_________::deb9a30595884758af433f4e4856b56a
https://doi.org/10.46793/kgjmat2001.075n
https://doi.org/10.46793/kgjmat2001.075n
Publikováno v:
Physica A: Statistical Mechanics and its Applications. 513:750-766
In this paper the transition joint probability density function of the solution of the Ornstein–Uhlenbeck process is presented by a deterministic parabolic time-fractional PDE (FPDE), named time-fractional Fokker–Planck equation. The article gene
Externí odkaz:
https://explore.openaire.eu/search/publication?articleId=doi_________::2167fbbbc679c13786db64fe96555bad
https://doi.org/10.1016/j.physa.2018.08.155
https://doi.org/10.1016/j.physa.2018.08.155
Publikováno v:
Computers & Mathematics with Applications. 75:740-754
The concept of Lie–Backlund symmetry plays a fundamental role in applied mathematics. It is clear that in order to find conservation laws for a given partial differential equations (PDEs) or fractional differential equations (FDEs) by using Lagrang
Externí odkaz:
https://explore.openaire.eu/search/publication?articleId=doi_________::aa4fd7f3e466c266999338c5261341a0
https://doi.org/10.1016/j.camwa.2017.10.001
https://doi.org/10.1016/j.camwa.2017.10.001
Publikováno v:
Waves in Random and Complex Media. 29:178-194
In this paper, we deal with the complete algebra of Lie point symmetries for the generalized model of an irrigation system of fractional order. By means of Lie symmetry method, the vector fields ha...
Externí odkaz:
https://explore.openaire.eu/search/publication?articleId=doi_________::6622efada78a80458e97ce4e1d4c802d
https://doi.org/10.1080/17455030.2017.1420943
https://doi.org/10.1080/17455030.2017.1420943
Publikováno v:
Physica A: Statistical Mechanics and its Applications. 537:122690
Instability and excessive volatilities in the various financial and non-financial markets have increased the importance of risk hedging in investments. So in this paper, the hypothetical options pricing have been done based on fractional Heston model
Externí odkaz:
https://explore.openaire.eu/search/publication?articleId=doi_________::1e49a11a49e4ff7669be1b4e02b6e705
https://doi.org/10.1016/j.physa.2019.122690
https://doi.org/10.1016/j.physa.2019.122690
Publikováno v:
International Journal of Geometric Methods in Modern Physics. 16:1950032
In this paper, group analysis of the fourth-order time-fractional Burgers–Korteweg–de Vries (KdV) equation is considered. Geometric vector fields of Lie point symmetries of the equation are investigated and the corresponding optimal system is fou
Externí odkaz:
https://explore.openaire.eu/search/publication?articleId=doi_________::f0f678f6e519ef4a2501a33568eec3b8
https://doi.org/10.1142/s0219887819500324
https://doi.org/10.1142/s0219887819500324
Autor:
A. Varsei, Elham Dastranj
Publikováno v:
Indian Journal of Pure and Applied Mathematics. 42:493-509
In this paper we randomize in a particular way the sequence of partitions based on which the random Riemann sums are defined for a Lebesgue integrable function f on (0, 1). Convergence of such sums to the Lebesgue integral of f is investigated.
Externí odkaz:
https://explore.openaire.eu/search/publication?articleId=doi_________::6817149a418033d24e7705bebd311c03
https://doi.org/10.1007/s13226-011-0030-8
https://doi.org/10.1007/s13226-011-0030-8
Publikováno v:
Asian-European Journal of Mathematics. 11:1850074
In this paper, power options pricing is driven via time-fractional PDE when the dynamic of underlying asset price follows a regime switching model in which the risky underlying asset depends on a continuous-time hidden Markov chain process. An exact
Externí odkaz:
https://explore.openaire.eu/search/publication?articleId=doi_________::75cc9dc4b90584012e4719097f00c3e0
https://doi.org/10.1142/s1793557118500742
https://doi.org/10.1142/s1793557118500742
Publikováno v:
International Journal of Financial Engineering. :1850009
In this paper, the transition joint probability density function of the solution of geometric Brownian motion (GBM) equation is obtained via Lie group theory of differential equations (DEs). Lie symmetry analysis is applied to find new solutions for
Externí odkaz:
https://explore.openaire.eu/search/publication?articleId=doi_________::89d3220bba3849345e5a458690c74fe1
https://doi.org/10.1142/s2424786318500093
https://doi.org/10.1142/s2424786318500093