Search Results - subject:"Transforms"

A Visual Criterion for Identifying Ito Diffusions as Martingalesor Strict Local Martingales

Hulley, Hardy; Platen, Eckhard - Finance Discipline Group, Business School - 2009

It is often important, in applications of stochastic calculus to financial modelling, to know whether a given local martingale is a martingale or a strict local martingale. We address this problem in the context of a time-homogenous diffusion process with a finite lower boundary, presented as...

Persistent link: https://www.econbiz.de/10008506970

A visual criterion for identifying Itô diffusions as martingalesor strict local martingales

Hulley, Hardy; Platen, Eckhard - 2009

Persistent link: https://www.econbiz.de/10008662355

On the construction of nested Archimedean copulas for d-monotone generators

Rezapour, Mohsen - In: Statistics & Probability Letters 101 (2015) C, pp. 21-32

Following McNeil and Nešlehová (2009), we present some weaker conditions under which a partially nested Archimedean copula with arbitrary nesting levels is still a copula. Relaxing the conditions on the generators enable researchers to model data sets more efficiently.

Persistent link: https://www.econbiz.de/10011263158

Numerical determination of hitting time distributions from their Laplace transforms: One dimensional diffusions

Gzyl, Henryk; ter Horst, Enrique; Villasana, Minaya - In: Physica A: Statistical Mechanics and its Applications 419 (2015) C, pp. 594-602

In a previous paper we studied a method to determine the probability density of barrier crossing times by a Brownian motion from the knowledge of its Laplace transform. This knowledge combined with the method of maximum entropy yields quite good reconstructions. The aim of this work is to extend...

Persistent link: https://www.econbiz.de/10011117894

On the valuation of fader and discrete barrier options in Heston's Stochastic Volatility Model

Griebsch, Susanne; Wystup, Uwe - 2008

We focus on closed-form option pricing in Heston's stochastic volatility model, in which closed-form formulas exist only for few option types. Most of these closed-form solutions are constructed from characteristic functions. We follow this approach and derive multivariate characteristic...

Persistent link: https://www.econbiz.de/10010301701

A Visual Classification of Local Martingales

Hulley, Hardy; Platen, Eckhard - Finance Discipline Group, Business School - 2008

40, 60J35, 60J50, 65L99. Keywords. Difiusions, flrst-passage times, Laplace transforms, local martin- gales, ordinary … Laplace transforms then implies that limz"1Px(¿z < t) = 0, for all t 2R+. A similar argument, based on the fact that `fi is ….13 from the perspective of Laplace transforms: Theorem 3.14. Suppose Assumptions 3.7 and 3.8 are in force. Then the following …

Persistent link: https://www.econbiz.de/10005041733

On the valuation of fader and discrete barrier options in Heston's Stochastic Volatility Model

Griebsch, Susanne; Wystup, Uwe - Frankfurt School of Finance and Management - 2008

We focus on closed-form option pricing in Hestons stochastic volatility model, in which closed-form formulas exist only for few option types. Most of these closed-form solutions are constructed from characteristic functions. We follow this approach and derive multivariate characteristic...

Persistent link: https://www.econbiz.de/10009642583

A visual classification of local martingales

Hulley, Hardy; Platen, Eckhard - 2008

Persistent link: https://www.econbiz.de/10003857178

On the valuation of fader and discrete barrier options in Heston's Stochastic Volatility Model

Griebsch, Susanne; Wystup, Uwe - 2008

We focus on closed-form option pricing in Heston s stochastic volatility model, in which closed-form formulas exist only for few option types. Most of these closed-form solutions are constructed from characteristic functions. We follow this approach and derive multivariate characteristic...

Persistent link: https://www.econbiz.de/10011293921

A generalized fractal transform for measure-valued images

La Torre, Davide; Vrscay, Edward R. - 2008

Persistent link: https://www.econbiz.de/10011700768