• No results found

Fractional diffusion models of option prices in markets with jumps

N/A
N/A
Protected

Academic year: 2020

Share "Fractional diffusion models of option prices in markets with jumps"

Copied!
30
0
0

Loading.... (view fulltext now)

Full text

Loading

Figure

Figure 1: FMLS Up-and-Out. Up-and-Out values with α = 1.5, Bu = 83 andσ = 0.25 for T = {3/12, 2/12, 1/12, 2/52, 1/52, 0}.
Figure 3: FMLS Double-Knock-Out. Double-Knock-Out values with α = 1.5,
Figure 5: Black-Scholes vs FMLS Down-and-Out.Difference in Down-and-Out values with α = 1.5, Bd = 43, σ = 0.25, and σBS = 0.2706 for T={3/12, 2/12, 1/12, 2/52, 1/52, 0}.
Figure 6:Black-Scholes vs FMLS Double Knock-Out.Difference Double

References

Related documents

The above Table 3a, shows that, in the long run economic growth has a positive relationship with capital expenditure, private investment, primary budget balance, direct tax,

Evaluating convolution sums of the divisors function by quasimodular forms , In- ternational Journal of Number Theory,

 Award and recognize operators and locations as "CEIV Pharma certified"  Advocate for globally accepted standards and regulations  Establish validation

Hypotheses for routes to the evolution of dioecy are not restricted to the mutation types already outlined (the two-gene model with male sterility followed by a female suppressor

By double clicking on a section in the Upper Half of the screen, you can open the Patient Details window to update information.. Patient Demographics Other Demographics

You may receive a distribution of the vested portion of some or all of your accounts in the Plan for the following reasons:  termination of employment for reasons other than

Specifically, we predict that: (i) conditional on cer- tification, managers make more aggressive reports about all other assets that may not be certified, (ii) investors discount

During the crisis, central banks employed unconventional tools (such as bond purchases and forward guidance) to provide economic stimulus as the policy rate approached zero, and