Search Results - subject:"Characteristic functions"

A stochastically correlated bivariate square-root model

Silva, Allan Jonathan da; Baczynski, Jack; Vicente, … - In: International Journal of Financial Studies : open … 12 (2024) 2, pp. 1-24

conditional characteristic functions. Such solutions recover verbatim those of the uncorrelated case which encompasses a range of …

Persistent link: https://www.econbiz.de/10014636327

Sequential Itô-Taylor expansions and characteristic functions of stochastic volatility models

Ding, Kailin; Cui, Zhenyu; Liu, Yanchu - In: The journal of futures markets 43 (2023) 12, pp. 1750-1769

Persistent link: https://www.econbiz.de/10014433005

Cooperative game-theoretic models of the cournot oligopoly

Korolev, Alexey V.; Ougolnitsky, Guennady A. - In: International game theory review : IGTR 25 (2023) 2, pp. 1-31

Persistent link: https://www.econbiz.de/10014436168

Testing the equality of Nifty 50 stocks' volatility risk using correlated F-ratio

Jayakumar, G. S. David Sam; Samuel, W.; Sulthan, A. - In: International Journal of Financial Markets and … 8 (2022) 4, pp. 384-409

Persistent link: https://www.econbiz.de/10014311645

Pricing arithmetic Asian options under jump diffusion CIR processes

Park, Jong Jun; Jang, Hyun Jin; Jang, Jiwook - In: Finance research letters 34 (2020), pp. 1-8

Persistent link: https://www.econbiz.de/10012436988

Weighted simulated integrated conditional moment tests for parametric conditional distributions of stationary time series processes

Bierens, Herman J.; Wang, Li - In: Econometric reviews 36 (2017) 1/3, pp. 103-135

Persistent link: https://www.econbiz.de/10011795009

Mathematical analysis of financial model on market price with stochastic volatility

Mondal, Mitun Kumar; Alim, Md. Abdul; Rahman, Md. Faizur; … - In: Journal of mathematical finance 7 (2017) 2, pp. 351-365

Persistent link: https://www.econbiz.de/10011673935

Optimum attributes component test plans for k-out-of-n:F Weibull systems using prior information

Fernández, Arturo J. - In: European journal of operational research : EJOR 240 (2015) 3, pp. 688-696

Persistent link: https://www.econbiz.de/10010486969

The evaluation of Europe Griebschan compound option prices under stochastic volatility using Fourier transform techniques

Griebsch, Susanne A. - In: Review of derivatives research 16 (2013) 2, pp. 135-165

Persistent link: https://www.econbiz.de/10009774402

Optimum attributes component test plans for k-out-of-n:F Weibull systems using prior information

Fernández, Arturo J. - In: European Journal of Operational Research 240 (2015) 3, pp. 688-696

Assuming that the proportion defective in a production process p is variable and the component lifetimes are Weibull distributed, integer nonlinear programming problems are formulated and solved in order to determine the optimum component inspection scheme by attributes for k-out-of-n:F system...

Persistent link: https://www.econbiz.de/10011052460