Call warrants pricing formula under mixed-fractional Brownian motion with Merton jump-diffusion
Saved in:
| Date: | 2022 |
|---|---|
| Main Authors: | S. Ibrahim, M. Laham |
| Format: | Article |
| Language: | English |
| Published: |
2022
|
| Series: | Mathematical Modeling and Computing |
| Online Access: | http://jnas.nbuv.gov.ua/article/UJRN-0001378978 |
| Tags: |
Add Tag
No Tags, Be the first to tag this record!
|
| Journal Title: | Library portal of National Academy of Sciences of Ukraine | LibNAS |
Institution
Library portal of National Academy of Sciences of Ukraine | LibNASSimilar Items
Pricing equity warrants with jumps, stochastic volatility, and stochastic interest rates
by: A. Sawal, et al.
Published: (2022)
by: A. Sawal, et al.
Published: (2022)
Penalty method for pricing American-style Asian option with jumps diffusion process
by: M. F. Laham, et al.
Published: (2023)
by: M. F. Laham, et al.
Published: (2023)
Arbitrage with fractional brownian motion?
by: Bender, C., et al.
Published: (2007)
by: Bender, C., et al.
Published: (2007)
The generalization of the quantile hedging problem for price process model involving finite number of Brownian and fractional Brownian motions
by: Bratyk, M., et al.
Published: (2008)
by: Bratyk, M., et al.
Published: (2008)
Pricing foreign exchange option under jump-diffusion
by: E. N. Derieva, et al.
Published: (2015)
by: E. N. Derieva, et al.
Published: (2015)
Fractional Brownian motion in financial engineering models
by: V. S. Yanishevskyi, et al.
Published: (2023)
by: V. S. Yanishevskyi, et al.
Published: (2023)
Existence and uniqueness of solution of mixed stochastic differential equation driven by fractional Brownian motion and wiener process
by: Mishura, Y., et al.
Published: (2007)
by: Mishura, Y., et al.
Published: (2007)
The valuation of knock-out power calls under Black–Scholes framework
by: A. S. Sawal, et al.
Published: (2022)
by: A. S. Sawal, et al.
Published: (2022)
On differentiability of solution to stochastic differential equation with fractional Brownian motion
by: Mishura, Yu.S., et al.
Published: (2007)
by: Mishura, Yu.S., et al.
Published: (2007)
The Brownian motion process with generalized diffusion matrix and drift vector
by: Kopytko, B.I., et al.
Published: (2008)
by: Kopytko, B.I., et al.
Published: (2008)
Ruin probability for generalized φ-sub-Gaussian fractional Brownian motion
by: Yamnenko, R.
Published: (2006)
by: Yamnenko, R.
Published: (2006)
Interval estimation of the fractional Brownian motion parameter in a model with measurement error
by: O. O. Synyavska
Published: (2016)
by: O. O. Synyavska
Published: (2016)
Simulation of fractional Brownian motion with given reliability and accuracy in C([0, 1])
by: Kozachenko, Y., et al.
Published: (2006)
by: Kozachenko, Y., et al.
Published: (2006)
From Brownian motion to molecular simulations
by: A. Rovenchak, et al.
Published: (2018)
by: A. Rovenchak, et al.
Published: (2018)
From Brownian motion to power of fluctuations
by: Berche, B., et al.
Published: (2012)
by: Berche, B., et al.
Published: (2012)
Legal aspects of extradition on the basis of a European arrest warrant
by: A. S. Nersesian
Published: (2017)
by: A. S. Nersesian
Published: (2017)
An isonormal process associated with a Brownian motion
by: A. A. Dorohovtsev, et al.
Published: (2022)
by: A. A. Dorohovtsev, et al.
Published: (2022)
Convoluted Brownian motion: a semimartingale approach
by: S. Roelly, et al.
Published: (2016)
by: S. Roelly, et al.
Published: (2016)
Nonlinear Brownian motion – mean square displacement
by: Ebeling, W.
Published: (2004)
by: Ebeling, W.
Published: (2004)
European option pricing under model involving slow growth volatility with jump
by: E. Aatif, et al.
Published: (2023)
by: E. Aatif, et al.
Published: (2023)
On a Brownian motion conditioned to stay in an open set
by: G. V. Riabov
Published: (2020)
by: G. V. Riabov
Published: (2020)
A direct proof of the reflection principle for Brownian motion
by: S. J. Dilworth, et al.
Published: (2016)
by: S. J. Dilworth, et al.
Published: (2016)
Regularized brownian motion on the Siegel disk of infinite dimension
by: Airault, H., et al.
Published: (2000)
by: Airault, H., et al.
Published: (2000)
Brownian motion of grains and negative friction in dusty plasmas
by: Trigger, S.A., et al.
Published: (2004)
by: Trigger, S.A., et al.
Published: (2004)
Quantum stochastic processes: boson and fermion Brownian motion
by: Kobryn, A.E., et al.
Published: (2003)
by: Kobryn, A.E., et al.
Published: (2003)
Approximation of fractional Brownian motion with associated Hurst index separated from 1 by stochastic integrals of linear power functions
by: Banna, O., et al.
Published: (2008)
by: Banna, O., et al.
Published: (2008)
The path integral representation kernel of evolution operator in Merton-Garman model
by: Blazhyevskyi, L.F., et al.
Published: (2011)
by: Blazhyevskyi, L.F., et al.
Published: (2011)
Adiabatic temperature control of the direction of motion of a Brownian motor
by: T. E. Korochkova, et al.
Published: (2020)
by: T. E. Korochkova, et al.
Published: (2020)
Correlated Brownian Motions as an Approximation to Deterministic Mean-Field Dynamics
by: Kotelenez, P.
Published: (2005)
by: Kotelenez, P.
Published: (2005)
Particle diffusion in a wave with randomly jumping phase
by: Zasenko, V.I., et al.
Published: (2015)
by: Zasenko, V.I., et al.
Published: (2015)
On a problem of system identification with additive fractional Brownian field
by: E. N. Derieva, et al.
Published: (2016)
by: E. N. Derieva, et al.
Published: (2016)
Role of Brownian motion and Neel relaxations in Mossbauer spectra of magnetic liquids
by: A. Y. Dzyublik, et al.
Published: (2024)
by: A. Y. Dzyublik, et al.
Published: (2024)
Motion reversal modeling for a Brownian particle affected by nonequilibrium fluctuations
by: A. D. Terets, et al.
Published: (2020)
by: A. D. Terets, et al.
Published: (2020)
Asymptotic behavior of jumping stochastic procedure in the diffusion approximation scheme
by: P. P. Horun
Published: (2014)
by: P. P. Horun
Published: (2014)
The unified form of Pollaczek-Khinchine formula for Levy processes with matrix-exponential negative jumps
by: D. Gusak, et al.
Published: (2012)
by: D. Gusak, et al.
Published: (2012)
Towards the phenomenology of calling: about the meaning of call
by: Ye. I. Muliarchuk
Published: (2019)
by: Ye. I. Muliarchuk
Published: (2019)
The phenomenon of call: voices and silence in the experience of calling
by: Ye. Muliarchuk
Published: (2019)
by: Ye. Muliarchuk
Published: (2019)
Inhomogeneous diffusion processes on a half-line with jumps on its boundary
by: R. V. Shevchuk
Published: (2011)
by: R. V. Shevchuk
Published: (2011)
Brownian motion in a euclidean space with a membrane located on a given hyperplane
by: B. I. Kopytko, et al.
Published: (2022)
by: B. I. Kopytko, et al.
Published: (2022)
Anomalous Brownian motion of colloidal particle in a nematic environment: effect of the director fluctuations
by: Turiv, T., et al.
Published: (2015)
by: Turiv, T., et al.
Published: (2015)
Similar Items
-
Pricing equity warrants with jumps, stochastic volatility, and stochastic interest rates
by: A. Sawal, et al.
Published: (2022) -
Penalty method for pricing American-style Asian option with jumps diffusion process
by: M. F. Laham, et al.
Published: (2023) -
Arbitrage with fractional brownian motion?
by: Bender, C., et al.
Published: (2007) -
The generalization of the quantile hedging problem for price process model involving finite number of Brownian and fractional Brownian motions
by: Bratyk, M., et al.
Published: (2008) -
Pricing foreign exchange option under jump-diffusion
by: E. N. Derieva, et al.
Published: (2015)