353,080 research outputs found

    PRICING ARITHMETIC ASIAN OPTIONS UNDER THE CEV PROCESS

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    This paper discusses the pricing of arithmetic Asian options when the underlying stock follows the constant elasticity of variance (CEV) process. We build a binomial tree method to estimate the CEV process and use it to price arithmetic Asian options. We find that the binomial tree method for the lognormal case can effectively solve the computational problems arising from the inherent complexities of arithmetic Asian options when the stock price follows CEV process. We present numerical results to demonstrate the validity and the convergence of the approach for the different parameter values set in CEV process.Exotic options; arithmetic Asian options; binomial tree method; CEV proces

    The symbolic consumption of cultural quarters

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    Properties of solutions of stochastic differential equations driven by the G-Brownian motion

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    In this paper, we study the differentiability of solutions of stochastic differential equations driven by the GG-Brownian motion with respect to the initial data and the parameter. In addition, the stability of solutions of stochastic differential equations driven by the GG-Brownian motion is obtained

    On Frankl and Furedi's conjecture for 3-uniform hypergraphs

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    The Lagrangian of a hypergraph has been a useful tool in hypergraph extremal problems. In most applications, we need an upper bound for the Lagrangian of a hypergraph. Frankl and Furedi in \cite{FF} conjectured that the rr-graph with mm edges formed by taking the first mm sets in the colex ordering of N(r){\mathbb N}^{(r)} has the largest Lagrangian of all rr-graphs with mm edges. In this paper, we give some partial results for this conjecture.Comment: 19 pages, 1 figure. arXiv admin note: substantial text overlap with arXiv:1211.650
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