Monte Carlo analysis of methods for extracting risk‐neutral densities with affine jump diffusions
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DOI: 10.1002/fut.22049
Abstract: This article compares several widely used and recently developed methods to extract risk‐neutral densities (RNDs) from option prices in terms of estimation accuracy. It shows that the positive convolution approximation method consistently yields the most… read more here.
Keywords: monte carlo; risk neutral; neutral densities; carlo analysis ... See more keywords
Statistical Modeling of Combinational Circuits Using Path Based Delay Analysis
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DOI: 10.1007/s12633-017-9721-z
Abstract: In nanometer regime, the variations in process parameters and environment parameters are increased radically which motivate the use of Statistical Static Timing Analysis (SSTA). In this paper, we propose a process and environment sensitivity based,… read more here.
Keywords: path based; analysis; monte carlo; combinational circuits ... See more keywords