Search Results - subject:"Subordinator"

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Subdiffusive option price model with inverse Gaussian subordinator

Shchestyuk, Nataliya; Tyshchenkob, Sergii - 2024

the model, the risk-free bond motion and classical GBM are time-changed by an inverted inverse Gaussian (IG) subordinator … based on the fractal Dupire equation, and demonstrate how it applies in the case of the IG subordinator. …

Persistent link: https://www.econbiz.de/10014551781

Subdiffusive option price model with inverse Gaussian subordinator

Shchestyuk, Nataliya; Tyshchenkob, Sergii - 2024

Persistent link: https://www.econbiz.de/10014464920

Technical note: production management with general demands and lost sales

Han, Jinhui; Li, Xiaolong; Sethi, Suresh P.; Siu, Chi Chung - In: Operations research 72 (2024) 5, pp. 1751-1764

Persistent link: https://www.econbiz.de/10015361726

A Fourier-cosine method for finite-time ruin probabilities

Lee, Wing Yan; Li, Xiaolong; Liu, Fangda; Shi, Yifan; … - In: Insurance 99 (2021), pp. 256-267

Persistent link: https://www.econbiz.de/10012649221

Variational time-fractional mean field games

Tang, Qing; Camilli, Fabio - In: Dynamic games and applications : DGA 10 (2020) 2, pp. 573-588

Persistent link: https://www.econbiz.de/10012626351

Modeling stochastic mortality for joint lives through subordinators

Zhang, Yuxin; Brockett, Patrick L. - In: Insurance 95 (2020), pp. 166-172

Persistent link: https://www.econbiz.de/10012420132

The pricing of dual-expiry exotics with mean reversion and jumps

Tong, Kevin Z.; Hou, Dongping; Guan, Jianhua - In: Journal of mathematical finance 9 (2019) 1, pp. 25-41

Persistent link: https://www.econbiz.de/10012116663

Quanto option pricing with Lévy models

Fallahgoul, Hasan A.; Kim, Young Shin; Fabozzi, Frank J.; … - In: Computational economics 53 (2019) 3, pp. 1279-1308

Persistent link: https://www.econbiz.de/10012135131

Sinh-acceleration: efficient evaluation of probability distributions, option pricing, and Monte Carlo simulations

Bojarčenko, Svetlana I.; Levendorskij, Sergej Z. - In: International journal of theoretical and applied finance 22 (2019) 3, pp. 1-49

Persistent link: https://www.econbiz.de/10012019776

A functional limit theorem for stochastic integrals driven by a time-changed symmetric α-stable Lévy process

Scalas, Enrico; Viles, Noèlia - In: Stochastic Processes and their Applications 124 (2014) 1, pp. 385-410

-stable Lévy process. The time change is given by the inverse β-stable subordinator. …

Persistent link: https://www.econbiz.de/10011064891

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