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184.331  Articles
1 of 18.434 pages  |  10  records  |  more records»
For the first time, the power law characteristics of stock price jump intervals have been empirically found generally in stock markets. The classical jump-diffusion model is described as the jump-diffusion model with power law (JDMPL). An artificial stock... see more

The aim of this paper is to examine how inflation volatility affects economic growth in a small open economy. To reach this goal, a stochastic macroeconomic model with a financial sector and incomplete financial markets (due to the inclusion of jumps) is ... see more

This paper compares the BM&FBovespa reference option premiums with the Garman-Kohlhagen model, Corrado-Su modified model, Merton's jump-diffusion model, and Black modified model for skewness and kurtosis for pricing dollar options and Ibovespa futures. Th... see more

This research focuses on the empirical comparative analysis of three models of option pricing: a) the implied volatility daily calibrated Black-Scholes model, b) the Cox and Ross univariate model with the volatility which is a deterministic and inverse fu... see more

Solutions of a model reaction-diffusion system inspired by a model for hair follicle initiation in mice are constructed and analysed for the case of a one-dimensional domain. It is shown that all regular spatially heterogeneous solutions of the problem ar... see more

We study the accuracy of the finite differences discretization scheme for a 2-D simplified model of global tracer transport, in the case that the diffusion coefficients relating flux to the gradient of the mixing ratio have dis... see more

In this paper the distributions of two-sided boundary functionals for double exponential jump diffusion processes are treated.

The farming technique of radical terracing is one of the new agricultural technologies introduced in Rwanda to enhance farming activities in the highland areas. The study was designed to analyze the applicability of the adoption and diffusion model of far... see more

This paper analyses the application of Bass’s diffusion model in forecasting the number of telecommunication services users in the event of natural disasters. Citizens’ behaviour has been modelled in the case of an emergency situation caused by an earthqu... see more

1 of 18.434 pages  |  10  records  |  more records»