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Market Efficiency of Floating Exchange Rate Systems: Some Evidence from Pacific-Asian Countries
(Elsevier, 2011)
This paper examines the random walk hypothesis (RWH) and the martingale difference hypothesis (MDH) for the Australian dollar and five Asian emerging currencies relative to three benchmark currencies. We use Wright’s (2000) ...
A robust method to retrieve option implied risk neutral densities for defaultable assets
(Inderscience Publishers, 2016)
Risk neutral densities recovered from option prices can be used to infer market participants' expectations of future stock returns and are a vital tool for pricing illiquid exotic options. Although there is a broad literature ...
Some finiteness conditions on the set of overrings of a phi-ring
(University of Houston, 2008)
Let H = {R | R is a commutative ring and Nil(R) is a divided prime ideal of R}. For a ring R in H with total quotient ring T(R), Let phi be the natural ring homomorphism from T(R) into R_Nil(R). An integral domain R is ...
On weakly 2-absorbing ideals of commutative rings
(University of Houston, 2013)
Let R be a commutative ring with identity 1 not equal to 0. In this paper, we introduce the concept of a weakly 2-absorbing ideal. A proper ideal I of R is called a weakly 2-absorbing ideal of R if whenever abc is not equal ...
Joshi’s Split Tree for Option Pricing
(MDPI, 2020)
In a thorough study of binomial trees, Joshi introduced the split tree as a two-phase binomial tree designed to minimize oscillations, and demonstrated empirically its outstanding performance when applied to pricing American ...
Path Independence of Exotic Options and Convergence of Binomial Approximations
(Infopro Digital Risk (IP), 2019)
The analysis of the convergence of tree methods for pricing barrier and lookback options has been the subject of numerous publications aiming at describing, quantifying, and improving the slow and oscillatory convergence ...
Fractional Integrodifferentiation and Toeplitz Operators with Vertical Symbols
(Birkhäuser, 2020)
We consider the so-called vertical Toeplitz operators on the weighted Bergman space over the half plane. The terminology “vertical” is motivated by the fact that if a is a symbol of such Toeplitz operator, then a(z) depends ...
Control of cardiac alternans by mechanical and electrical feedback
(American Physical Society, 2014)
A persistent alternation in the cardiac action potential duration has been linked to the onset of ventricular arrhythmia, which may lead to sudden cardiac death. A coupling between these cardiac alternans and the intracellular ...
Modeling and simulation of hypothermia effects on cardiac electrical dynamics
(Public Library of Science, 2019)
Previous experimental evidence has shown the effect of temperature on the action potential duration (APD). It has also been demonstrated that regional cooling of the heart can prolong the APD and promote the termination ...
Exercisability Randomization of the American Option
(Taylor & Frances Online, 2008)
The valuation of American options is an optimal stopping time problem which typically leads to a free boundary problem. We introduce here the randomization of the exercisability of the option. This method considerably ...