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pro vyhledávání: '"Ghizlane Moutabir"'
Publikováno v:
Mathematics, Vol 7, Iss 11, p 1062 (2019)
In this paper, we study the one-dimensional homogeneous stochastic Brennan−Schwartz diffusion process. This model is a generalization of the homogeneous lognormal diffusion process. What is more, it is used in various contexts of financial mathemat
Externí odkaz:
https://doaj.org/article/af8e24ea9a8844c48c7ae92eff061d3c
Stochastic Square of the Brennan-Schwartz Diffusion Process: Statistical Computation and Application
Publikováno v:
Methodology and Computing in Applied Probability. 22:455-476
In this paper, we study a new one-dimensional homogeneous stochastic process, termed the Square of the Brennan-Schwartz model, which is used in various contexts. We first establish the probabilistic characteristics of the model, such as the analytica
Externí odkaz:
https://explore.openaire.eu/search/publication?articleId=doi_________::18a2695d22860c5b01fa0e7ee9541bf4
https://doi.org/10.1007/s11009-019-09714-8
https://doi.org/10.1007/s11009-019-09714-8
Publikováno v:
Mathematics
Volume 7
Issue 11
Digibug. Repositorio Institucional de la Universidad de Granada
instname
Mathematics, Vol 7, Iss 11, p 1062 (2019)
Volume 7
Issue 11
Digibug. Repositorio Institucional de la Universidad de Granada
instname
Mathematics, Vol 7, Iss 11, p 1062 (2019)
In this paper, we study the one-dimensional homogeneous stochastic Brennan&ndash
Schwartz diffusion process. This model is a generalization of the homogeneous lognormal diffusion process. What is more, it is used in various contexts of financial
Schwartz diffusion process. This model is a generalization of the homogeneous lognormal diffusion process. What is more, it is used in various contexts of financial
Externí odkaz:
https://explore.openaire.eu/search/publication?articleId=doi_dedup___::c585d07dc7864e7b226ba97228c92583
https://doi.org/10.3390/math7111062
https://doi.org/10.3390/math7111062
Autor:
Nafidi, Ahmed1 (AUTHOR), Moutabir, Ghizlane1 (AUTHOR) ghizlane.moutabir@gmail.com, Gutiérrez-Sánchez, Ramón2 (AUTHOR), Ramos-Ábalos, Eva2 (AUTHOR)
Publikováno v:
Methodology & Computing in Applied Probability. Jun2020, Vol. 22 Issue 2, p455-476. 22p.
Autor:
Nafidi, Ahmed1 (AUTHOR), Moutabir, Ghizlane1 (AUTHOR) ghizlane.moutabir@gmail.com, Gutiérrez-Sánchez, Ramón2 (AUTHOR)
Publikováno v:
Mathematics (2227-7390). Nov2019, Vol. 7 Issue 11, p1062-1062. 1p.