Therefore, we propose a modification of the stock price process so that the CIR model and the Longstaff model may be embedded into an option pricing formula. However, the mean-reverting Ornstein-Uhlenbeck process can be nested with the stock price process for a non-zero correlation without any...
In fact, the solutions of stochastic differential equations may exist when their drift and diffusion coefficients are discontinuous with respect to x. The Existence of Strong Solutions for a Class of Stochastic Differential Equations Hence, many authors have introduced stochastic interferences into differen...
This model implies that drift and the diffusion parameters change proportionally with St. An SDE that has been found useful in modelling interest rates is the mean reverting model: (117)dSt=λ(μ-St)dt+σStdWt t ∈ [0,∞) According to this, as St falls below a “long-run mean...
where μ Stdt is a drift term, (Wt) is a Brownian motion, and (σt) is the volatility. As we have seen before, the simplest models take a constant deterministic volatility, but these models are generally too coarse to match real market prices. Here, we assume that (σt) is a stoc...
Assume that the asset is sold at the moment when its price rises above or falls below a certain limit, and thus the solution v has to satisfy x - v = 0 at the boundary points x. You can choose another boundary condition, for example, you can use v = 0 to model knockout options....
Advances in Difference Equations https://doi.org/10.1186/s13662-020-02593-1 (2020) 2020:176 RESEARCH Open Access Numerical simulations for stochastic meme epidemic model Ali Raza1, Muhammad Rafiq2, Dumitru Baleanu3,4,5* and Muhammad Shoaib Arif1 *Correspondence: dumitru@cankaya.edu.tr 3...
In the VS model, both the subthreshold and the above threshold FET characteristics are captured through a single semi-empirical and phenomenological relationship that describes the transition in channel charge from weak to strong inversion. The model parameters were obtained from experimentally measured ...
6.7 Radial Processes on Model Manifolds 6.8 Potential Induced Diffusions 6.9 Bessel Process with Drift in R3 6.10 The Norm of n Processes 6.11 Central Projection on Sn 6.12 The Skew-product Representation 6.13 The h-Laplacian 6.14 Stochastically Complete Manifolds ...
Infectious diseases have long been a shaping force in human history, necessitating a comprehensive understanding of their dynamics. This study introduces a co-evolution model that integrates both epidemiological and evolutionary dynamics. Utilizing a sys
In order to illustrate the modeling strategies in a nonlinear dynamic framework, let us consider a model for the joint analysis of returns allowing for stochastic volatility. such a model is a multivariate extension of the one-dimensional stochastic volatility model introduced by Hull and White [HUL...