A copula-based approach for pricing crack spread options is described. Crack spread options are currently priced … seasonality, are ignored in standard models. We develop two copula-based crack spread option models using a simulation approach … (<CitationRef CitationID="CR26">1995</CitationRef>)) mis-price a crack spread option and that the Clayton model is more appropriate …

and holding time on the failure mechanism of TBCs is discussed. The crack healing produced during the coating re …

time, and crack-free MPL was prepared to enhance the mechanical durability of the MPL. A dummy cell was designed for the … single cell performance dramatically decreased at a high current density due to the puddle-shape defects. Thus, crack … slurry. The puddle-shape defects were not detected on the surface of the home-made crack-free MPL, and the decrease in the …

univariate models. Second, we forecast crack spread volatility and contrast the performance of multivariate models for two … underlyings, with the alternative of univariate ones for crack spreads directly. Our evidence shows that univariate models …

In this paper, we investigate the long-range auto-correlations of crack spreads using a nonparametric method, named … detect long-range auto-correlations in crack spread volatilities and find a strong persistent behavior and multifractality …

Crack formation is inevitable during sludge drying because of the existence of uneven thermal stress. Experiments have … been conducted to study crack pattern formation in thin film sludge. Crack images show that the thinner the sewage sludge … film, the more even the crack distribution. The crack changes from a flaky texture to a banded structure with increasing …