Zobrazeno 1 - 10
of 12
pro vyhledávání: '"Udomsak Rakwongwan"'
Publikováno v:
Fractal and Fractional, Vol 8, Iss 7, p 406 (2024)
This paper explores the Apéry-like series and demonstrates the derivation of closed-form expressions using fractional calculus. We consider a variety of Apéry-like functions, which were categorized by their functional forms and coefficients by appl
Externí odkaz:
https://doaj.org/article/881e925898594c1986fd6a0ca58f9fb4
Publikováno v:
Computation, Vol 11, Iss 2, p 30 (2023)
This paper studies the portfolio selection problem where tradable assets are a bank account, and standard put and call options are written on the S&P 500 index in incomplete markets in which there exist bid–ask spreads and finite liquidity. The pro
Externí odkaz:
https://doaj.org/article/e1186f62a6f4490796348e190db16f7f
Publikováno v:
Symmetry, Vol 14, Iss 11, p 2385 (2022)
This paper presents analytical formulas for pricing generalized swaps, including the moment swap, gamma swap, entropy swap and self-quantoed variance swap. The formulas are based on closed-form formulas for the conditional expectations of the product
Externí odkaz:
https://doaj.org/article/428a71c97cf84ab5b89fd8772e42219a
Publikováno v:
Fractal and Fractional, Vol 6, Iss 2, p 58 (2022)
This paper presents an explicit formula of conditional expectation for a product of polynomial functions and the discounted characteristic function based on the Cox–Ingersoll–Ross (CIR) process. We also propose an analytical formula as well as a
Externí odkaz:
https://doaj.org/article/07d6be49e34f4eacba00fd75f26750ae
Publikováno v:
International Conference on Mathematical and Statistical Physics, Computational Science, Education, and Communication (ICMSCE 2022).
Externí odkaz:
https://explore.openaire.eu/search/publication?articleId=doi_________::5c92432b36802a5b1af420d2e27a8437
https://doi.org/10.1117/12.2675080
https://doi.org/10.1117/12.2675080
Publikováno v:
Fractal and Fractional; Volume 6; Issue 2; Pages: 58
This paper presents an explicit formula of conditional expectation for a product of polynomial functions and the discounted characteristic function based on the Cox–Ingersoll–Ross (CIR) process. We also propose an analytical formula as well as a
Externí odkaz:
https://explore.openaire.eu/search/publication?articleId=doi_dedup___::582f850eb24bcf417ba0b414c9fb146a
Publikováno v:
Research in the Mathematical Sciences. 9
Externí odkaz:
https://explore.openaire.eu/search/publication?articleId=doi_________::da112bb74c13bd420138f05bc19eca45
https://doi.org/10.1007/s40687-021-00309-9
https://doi.org/10.1007/s40687-021-00309-9
Publikováno v:
Symmetry; Volume 14; Issue 11; Pages: 2385
This paper presents analytical formulas for pricing generalized swaps, including the moment swap, gamma swap, entropy swap and self-quantoed variance swap. The formulas are based on closed-form formulas for the conditional expectations of the product
Externí odkaz:
https://explore.openaire.eu/search/publication?articleId=doi_dedup___::4e08420b8398f381fc7f558d49fdc57f
https://doi.org/10.3390/sym14112385
https://doi.org/10.3390/sym14112385
Publikováno v:
Walailak Journal of Science and Technology (WJST). 18
We study the propagation of pollutants emitted from a single generator such as a factory chimney located between 2 mountains as well as its effects on an observed area such as a village or agricultural land. The problem is formulated as a system of p
Externí odkaz:
https://explore.openaire.eu/search/publication?articleId=doi_________::d89bd1beb2a39665f3de69ed59582875
https://doi.org/10.48048/wjst.2021.9805
https://doi.org/10.48048/wjst.2021.9805
Autor:
Udomsak Rakwongwan, Sanae Rujivan
Publikováno v:
Communications in Nonlinear Science and Numerical Simulation. 100:105849
This paper presents the first analytical pricing formulas for volatility swaps and volatility options with discrete sampling under the Black-Scholes model with time varying risk-free interest rate. Despite numerous analytical works on the pricing of
Externí odkaz:
https://explore.openaire.eu/search/publication?articleId=doi_________::bc831d4e4b5942d5ccba4c4565bb1b16
https://doi.org/10.1016/j.cnsns.2021.105849
https://doi.org/10.1016/j.cnsns.2021.105849