A model‐free approximation for barrier options in a general stochastic volatility framework
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DOI: 10.1002/fut.22498
Abstract: For a general stochastic volatility framework with correlation between the spot price and the instantaneous volatility, an analytical approximation for single barrier options with continuous monitoring is given. The approximation is expressed only in terms… read more here.
Keywords: general stochastic; barrier options; stochastic volatility; volatility ... See more keywords
Existence of Solution of the Dirichlet Problem for the Heat-Conduction Equation with General Stochastic Measure
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DOI: 10.1007/s10958-019-04351-5
Abstract: We present sufficient conditions for the existence of a weak solution of the Dirichlet problem for the heat-conduction equation with random action described by an integral over the general stochastic measure. read more here.
Keywords: problem heat; dirichlet problem; solution dirichlet; heat conduction ... See more keywords
Minimax and pointwise sequential changepoint detection and identification for general stochastic models
Sign Up to like & getrecommendations! Published in 2022 at "Journal of Multivariate Analysis"
DOI: 10.1016/j.jmva.2022.104977
Abstract: This paper considers the problem of joint change detection and identification assuming multiple composite postchange hypotheses. We propose a multihypothesis changepoint detection-identification procedure that controls the probabilities of false alarm and wrong identification. We show… read more here.
Keywords: detection; changepoint detection; detection identification; general stochastic ... See more keywords