Zobrazeno 1 - 10
of 11 961
pro vyhledávání: '"Fractional Brownian Motion"'
Autor:
Chao Yue, Chuanhe Shen
Publikováno v:
AIMS Mathematics, Vol 9, Iss 11, Pp 31010-31029 (2024)
In this work, we mainly focused on the pricing formula for fractal barrier options where the underlying asset followed the sub-mixed fractional Brownian motion with jump, including the down-and-out call option, the down-and-out put option, the down-a
Externí odkaz:
https://doaj.org/article/a06d7c291f844113aa7948e5876e5220
Autor:
Xinyi Wang, Chunyu Wang
Publikováno v:
AIMS Mathematics, Vol 9, Iss 10, Pp 26579-26601 (2024)
Considering the characteristics of long-range correlations in financial markets, the issue of valuing geometric average Asian options is examined, assuming that the variations of the underlying asset follow the mixed sub-fractional Brownian motion, a
Externí odkaz:
https://doaj.org/article/c8f586159ff94e489c2bf695ffc9430a
Autor:
Min-Ku Lee, Jeong-Hoon Kim
Publikováno v:
AIMS Mathematics, Vol 9, Iss 9, Pp 25545-25576 (2024)
In this paper, we proposed a stochastic volatility model in which the volatility was given by stochastic processes representing two characteristic time scales of variation driven by approximate fractional Brownian motions with two Hurst exponents. We
Externí odkaz:
https://doaj.org/article/eddda410abe24f519cf9a859097d9323
Autor:
Wang Wensheng, Dong Jingshuang
Publikováno v:
Open Mathematics, Vol 22, Iss 1, Pp 285-300 (2024)
The multivariate Gaussian random fields with matrix-based scaling laws are widely used for inference in statistics and many applied areas. In such contexts, interests are often Hölder regularities of spatial surfaces in any given direction. This art
Externí odkaz:
https://doaj.org/article/735249c0d5b94d5c99373e7ecbc05fa8
Autor:
Hussain Javed, Ali Munawar
Publikováno v:
Nonlinear Engineering, Vol 13, Iss 1, Pp 153-202 (2024)
This article aims to examine the pricing of debt and equity in the context of credit risk structural models, where the value of a company’s assets is influenced by mixed fractional Brownian motion. Three distinct scenarios are analyzed, including w
Externí odkaz:
https://doaj.org/article/86c400da62bb43f38db21011d14855f0
Publikováno v:
Boundary Value Problems, Vol 2024, Iss 1, Pp 1-15 (2024)
Abstract Over the years, the research of backward stochastic differential equations (BSDEs) has come a long way. As a extension of the BSDEs, the BSDEs with time delay have played a major role in the stochastic optimal control, financial risk, insura
Externí odkaz:
https://doaj.org/article/3a3c2fcb28bc456db471abfe2ca37e9b
Autor:
Jingyun Lv, Xiaoyan Lu
Publikováno v:
Electronic Research Archive, Vol 32, Iss 3, Pp 1663-1691 (2024)
We explore the numerical approximation of the stochastic Burgers equation driven by fractional Brownian motion with Hurst index $ H\in(1/4, 1/2) $ and $ H\in(1/2, 1) $, respectively. The spatial and temporal regularity properties for the solution are
Externí odkaz:
https://doaj.org/article/b6c21ae6435645b39cbfa522840d0e4b
Autor:
Fawaz K. Alalhareth, Seham M. Al-Mekhlafi, Ahmed Boudaoui, Noura Laksaci, Mohammed H. Alharbi
Publikováno v:
AIMS Mathematics, Vol 9, Iss 3, Pp 5376-5393 (2024)
This paper extends a novel piecewise mathematical model of the COVID-19 epidemic using fractional and variable-order differential equations and fractional stochastic derivatives in three intervals of time. The deterministic models are augmented with
Externí odkaz:
https://doaj.org/article/bc6322925fba4cc2bb48c54aef4ff5c8