Zobrazeno 1 - 10
of 25
pro vyhledávání: '"L_evy process"'
Autor:
Adiele, Ugochukwu Oliver
In this dissertation, we introduce novel exponential jump-diffusion models for pricing options. Firstly, the normal convolution gamma mixture jump-diffusion model is presented. This model generalizes Merton's jump-diffusion and Kou's double exponenti
Externí odkaz:
https://digital.library.unt.edu/ark:/67531/metadc2257741/
Publikováno v:
Journal of Mathematical Sciences and Modelling, Vol 1, Iss 3, Pp 138-152 (2018)
We examine European call options in the jump-diffusion version of the Double Heston stochastic volatility model for the underlying price process to provide a more flexible model for the term structure of volatility. We assume, in addition, that the s
Externí odkaz:
https://doaj.org/article/001bcdaed5b54292bc6c23309d2cc7ca
Autor:
Mariusz Żaba, Piotr Garbaczewski
Publikováno v:
Journal of Physics A-Mathematical and Theoretical. 55(30):1-27
We discuss an impact of various (path-wise) reflection-from-the barrier scenarios upon confining properties of a paradigmatic family of symmetric $\alpha $-stable L\'{e}vy processes, whose permanent residence in a finite interval on a line is secured
Autor:
Profeta, Christophe
We consider a branching Markov process in continuous time in which the particles evolve independently as spectrally negative L\'evy processes. When the branching mechanism is critical or subcritical, the process will eventually die and we may define
Externí odkaz:
https://explore.openaire.eu/search/publication?articleId=arXiv_dedup_::b82706a1102e82c9303a20a1d55a77e0
https://hal.science/hal-03736526
https://hal.science/hal-03736526
Autor:
Frei, M. M.
Publikováno v:
Carpathian Mathematical Publications; Vol 10, No 1 (2018); 82-104
Карпатские математические публикации; Vol 10, No 1 (2018); 82-104
Карпатські математичні публікації; Vol 10, No 1 (2018); 82-104
Карпатские математические публикации; Vol 10, No 1 (2018); 82-104
Карпатські математичні публікації; Vol 10, No 1 (2018); 82-104
Many objects of the Gaussian white noise analysis (spaces of test and generalized functions, stochastic integrals and derivatives, etc.) can be constructed and studied in terms of so-called chaotic decompositions, based on a chaotic representation pr
Publikováno v:
Volume: 1, Issue: 3 138-152
Journal of Mathematical Sciences and Modelling
Journal of Mathematical Sciences and Modelling
We examine European call options in the jump-diffusion version of the Double Heston stochastic volatility model for the underlying price process to provide a more flexible model for the term structure of volatility. We assume, in addition, that the s
Externí odkaz:
https://explore.openaire.eu/search/publication?articleId=doi_dedup___::4e9e15b90fa7ae377e648fb3d1cd3fae
https://dergipark.org.tr/tr/pub/jmsm/issue/41908/432019
https://dergipark.org.tr/tr/pub/jmsm/issue/41908/432019
Autor:
Ichinose, Takashi
Publikováno v:
数理解析研究所講究録. 1958:117-142
Let $J$ be the L\'evy density of a symmetric L\'evy process in $\mathbb{R}^d$ with its L\'evy exponent satisfying a weak lower scaling condition at infinity. Consider the non-symmetric and non-local operator $$ {\mathcal L}^{\kappa}f(x):= \lim_{\epsi
Externí odkaz:
https://explore.openaire.eu/search/publication?articleId=doi_dedup___::67c35882ca78e4fa06049947da01b3a8
https://doi.org/10.1007/s11118-017-9648-4
https://doi.org/10.1007/s11118-017-9648-4
Publikováno v:
Loeffen, R, Palmowski, Z & Surya, B A 2017, ' Discounted penalty function at Parisian ruin for Lévy insurance risk process ', Insurance: Mathematics and Economics, vol. 83, pp. 190-197 . https://doi.org/10.1016/j.insmatheco.2017.10.008
In the setting of a Levy insurance risk process, we present some results regarding the Parisian ruin problem which concerns the occurrence of an excursion below zero of duration bigger than a given threshold r . First, we give the joint Laplace trans
Externí odkaz:
https://explore.openaire.eu/search/publication?articleId=doi_dedup___::2d4733e10e674379303337fbd739d105
https://doi.org/10.1016/j.insmatheco.2017.10.008
https://doi.org/10.1016/j.insmatheco.2017.10.008
Autor:
Jabir, J.-F, Profeta, C
In this note, we consider the construction of a one-dimensional stable Langevin type process confined in the upper half-plane and submitted to reflective-diffusive boundary conditions whenever the particle position hits 0. We show that two main diffe
Externí odkaz:
https://explore.openaire.eu/search/publication?articleId=doi_dedup___::08520ba1c892416e339e115945f895c5