Lec13 new 最近の更新履歴 yyasuda's website

Although the modeling of stock prices is still under intensive investigations, it is not the intention of this paper to address the validity of the model stock price dynamics treated

Throughout our present work we study the Heston model of pricing for European call options on stocks with stochastic volatility (Heston [27]) by abstract analytic methods coming

Considering the optimal tactical decisions regarding service level, transfer price, and marketing expenditure, manufacturer of the new SC has to decide how to configure his

We present European call option pricing formulas in the case of ergodic, double-averaged, and merged diffusion geometric Markov renewal processes.. Motivated by the geometric

The Beurling-Bj ¨orck space S w , as defined in 2, consists of C ∞ functions such that the functions and their Fourier transform jointly with all their derivatives decay ultrarapidly

In the previous section, we revisited the problem of the American put close to expiry and used an asymptotic expansion of the Black-Scholes-Merton PDE to find expressions for

The calibration problem for the Black-Scholes model was solved based on the S&P500 data, and the S&P 500 call and put option price data were interpreted in the framework

Current Status of Unapproved Drug Transactions via Internet Auction in Japan.. Hisakazu Ohtani ＊ , Honomi Fujii, Ayuko Imaoka and Takeshi Akiyoshi Division of