Option Pricing in a Fractional Brownian Motion Environment

Similar documents
By Joonghoe Dho. The irradiance at P is given by

Convolution of Generated Random Variable from. Exponential Distribution with Stabilizer Constant

Chapter 5 Transmission Lines

Analytical Evaluation of Multicenter Nuclear Attraction Integrals for Slater-Type Orbitals Using Guseinov Rotation-Angular Function

Anouncements. Conjugate Gradients. Steepest Descent. Outline. Steepest Descent. Steepest Descent

Neutrosophic Hyperideals of Semihyperrings

The far field calculation: Approximate and exact solutions. Persa Kyritsi November 10th, 2005 B2-109

Bayesian Credibility for Excess of Loss Reinsurance Rating. By Mark Cockroft 1 Lane Clark & Peacock LLP

Example: Two Stochastic Process u~u[0,1]

WARRANT VALUATION METHODS

EQUATION SHEETS FOR ELEC

Convergence tests for the cluster DFT calculations

POSITIVITY AND REACHABILITY OF FRACTIONAL ELECTRICAL CIRCUITS

The Signal, Variable System, and Transformation: A Personal Perspective

Inverse Scattering of a Dielectric Sphere Partially Buried in a Ground Plane Using a Radial Basis Function Network

International Journal of Pure and Applied Sciences and Technology

NEWBERRY FOREST MGT UNIT Stand Level Information Compartment: 10 Entry Year: 2001

11/8/2002 CS 258 HW 2

Silv. Criteria Met? Condition

Machine Learning for Reliable mmwave Systems: Blockage Prediction and Proactive Handoff

k of the incident wave) will be greater t is too small to satisfy the required kinematics boundary condition, (19)


Part I- Wave Reflection and Transmission at Normal Incident. Part II- Wave Reflection and Transmission at Oblique Incident

C 301 SNOOK ADDITIONS AND RENOVATIONS GRADING AND PAVING PLAN (AREA A) KEY PLAN FM 2155 LEGEND SNOOK, TX FM 2155 IFP H.F.

Improved Exponential Estimator for Population Variance Using Two Auxiliary Variables

Parametric Down Conversion. Quantum optics seminar Winter 2008 Assaf Shaham

Control Systems. Lecture 8 Root Locus. Root Locus. Plant. Controller. Sensor

BUDA TOWN CENTER CLICK FOR DRONE VIDEO. PJ KAMINER

BUDA TOWN CENTER CLICK FOR DRONE VIDEO. PJ KAMINER

Some New Classes of Orthogonal Polynomials and Special Functions: A Symmetric Generalization of Sturm-Liouville Problems and its Consequences

NUCON NRNON CONRNC ON CURRN RN N CHNOOGY, 011 oo uul o w ul x ol volv y y oll. y ov,., - o lo ll vy ul o Mo l u v ul (G) v Gl vlu oll. u 3- [11]. 000

P a g e 5 1 of R e p o r t P B 4 / 0 9

New approach for numerical solution of Fredholm integral equations system of the second kind by using an expansion method

Dialectical Logic K-Model: A Mathematical Model for Machine

Existence of Nonoscillatory Solutions for a Class of N-order Neutral Differential Systems

UDDH. B O DY, OM H F VOW YOU LF, ND KLP, FUU ND GD NN O CND L, PU PC O UN O O BCK COM N OU, L H UN BUDDH' MK. HN H OPN MO. ONC LOOULY G H L GN. G DHM'

". :'=: "t',.4 :; :::-':7'- --,r. "c:"" --; : I :. \ 1 :;,'I ~,:-._._'.:.:1... ~~ \..,i ... ~.. ~--~ ( L ;...3L-. ' f.':... I. -.1;':'.

Handout on. Crystal Symmetries and Energy Bands

A Simple Representation of the Weighted Non-Central Chi-Square Distribution

Darboux transformation of lax pair for an integrable coupling of the integrable differential-difference equation

Role of diagonal tension crack in size effect of shear strength of deep beams

Improved Exponential Estimator for Population Variance Using Two Auxiliary Variables

Synchronization Techniques for Burst-Mode Continuous Phase Modulation

Lecture Y4: Computational Optics I

2011 8th International Conference on Electrical Engineering, Computing Science and Automatic Control.

Phys Nov. 3, 2017 Today s Topics. Continue Chapter 2: Electromagnetic Theory, Photons, and Light Reading for Next Time

drawing issue sheet Former Royal High School - Hotel Development

Air and Environmental Technology. Industrial Fans. Special Fans for the Process Industry

RAKE Receiver with Adaptive Interference Cancellers for a DS-CDMA System in Multipath Fading Channels

T h e C S E T I P r o j e c t

x xi r 0. The most popular RBFs are given as follows: IUST International Journal of Engineering Science, Vol. 19, No.5-2, 2008, Page 21-26

ALDERS TOWNHOMES - FILING 4 - BUILDING 10

Fractal diffusion retrospective problems

An Interactive Intuitionistic Fuzzy Non-Linear Fractional Programming Problem

Trefftz method in solving the inverse problems

Exterior Building Renovations

The Log-Gamma-Pareto Distribution

Competitive Facility Location Problem with Demands Depending on the Facilities

Lecture 7 Diffusion. Our fluid equations that we developed before are: v t v mn t

Hygienic Cable Glands

An N-Component Series Repairable System with Repairman Doing Other Work and Priority in Repair

Analysis of a Stochastic Lotka-Volterra Competitive System with Distributed Delays

Integrated Optical Waveguides

Chapter 5 Transmission Lines

It is distinctly Kansas City Kansas City began as a trading post for early 18th century settlers traveling along the Missouri River.

Cylon BACnet Unitary Controller (CBT) Range

PERMIT DRAWING SHEET 28 OF 62

EQUIPMENT INSIDE DUCT SIZE (FIRST FIGURE IS SIDE SHOWN) 12"x12" FLEXIBLE DUCTWORK MOTORIZED DAMPER BACKDRAFT DAMPER

Calculus 241, section 12.2 Limits/Continuity & 12.3 Derivatives/Integrals notes by Tim Pilachowski r r r =, with a domain of real ( )

BILINEAR TIME SERIES MODEL FOR ESTIMATING A DISEASE DEATH RATE. J. F. Ojo University of Ibadan, Ibadan, Nigeria.

2 u Du, k Hu Dv Hu, y H. u Cu j u qu u. Nv. v uy. Cu Hu F A H. qu Cu.. Cu j 1980, u V, v Nu My O k. v u u. A G C. My u v k, 2.5 H v v u / u v u v k y

Advanced Particle Physics & Introduction to Standard Model: II. Prerequisites

AH CURRITUCK RESERVE LLC

ME 343 Control Systems

8. Queueing systems. Contents. Simple teletraffic model. Pure queueing system

Homework 1: Solutions

LM A F LABL Y H FRMA H P UBLCA B LV B ACCURA ALL R PC H WVR W C A AU M RP BLY FR AY C QUC RUL G F RM H U HR F H FRMA C A HR UBJC CHA G WHU C R V R W H

Comparisons of the Variance of Predictors with PPS sampling (update of c04ed26.doc) Ed Stanek

Least squares and motion. Nuno Vasconcelos ECE Department, UCSD

MID-COAST TROLLEY ALIGNMENT

CONTENTS. Hugo Reitzel, the pickles enthusiast CERTIFICATIONS JARS POUCHES & CANS SALAD DRESSING MINI-TUBES

Senior: Jamie Miniard

Study of Tyre Damping Ratio and In-Plane Time Domain Simulation with Modal Parameter Tyre Model (MPTM)

Linear Perturbation Bounds of the Continuous-Time LMI-Based H Quadratic Stability Problem for Descriptor Systems

S : IF IMPACT FACTOR J P RDEE C s ournal J and Applied Sciences Basic of Journal nternational I, al. andiso et. H ol. V. 7. o N SSN: I -

FICH~:s lciithyo\l~~trio~es.

ASHLA UO MUJJlGl PAL c OUtT. filing for office of Q 50t 5 1 Coo I 5 OS. Filing of Candidacy by Declaration ORS

Orr Center: Registrar Renovation

T S B 2 N B 4 E 13' 36' 4I8U. n6p. n8p n6p R3-4 6J4U 6J4L 10-LOOPS R I1U R LOOPS. n2 PV R3-4. n2p n8p.

Mean Estimation with Imputation in Two- Phase Sampling

1. Experimental Methodology

N e w S t u d e n t. C o u n c i l M e n

P a g e 3 6 of R e p o r t P B 4 / 0 9

rig T h e y plod vault with < abort Ve i waiting for nj tld arrivi distant friend To whom wondering gram?" "To James Boynton." worded?

NORTHING 2" INS. COPPER COMM. CABLE 6" D.I. WATER LINE 52 12" D.I. WATER LINE 645, ,162, CURVE DATA US 40 ALT.

θ h ε δ x α, β ω τ r τ l θ r, θ s

Bethe-Salpeter Equation Green s Function and the Bethe-Salpeter Equation for Effective Interaction in the Ladder Approximation

MATHEMATICAL MODELLING OF NEAR-HOVER INSECT FLIGHT DYNAMICS

Contents FREE!

A Review of Dynamic Models Used in Simulation of Gear Transmissions

Transcription:

Opo Pcg a acoal owa Moo vom Cpa Ncula Acamy o coomc u ucha, omaa mal: cpc@yahoo.com h a: buay, Abac h pupo o h pap o oba a acoal lack-chol omula o h pc o a opo o vy [, ], a acoal lack-chol quao a a k-ual valuao hom h ulyg v by a acoal owa moo, < <. o h pupo w wll pov om ul gag h qua-cooal xpcao, pcally h bhavo o a Gaov aom. W wll alo compa ou ul wh h clacal ul ba o h aa owa moo a w coclu ha h ca o h acoal owa moo h pc o h opo o log p oly o.. Iouco I < < h acoal owa moo m wh u paam h couou Gaua poc {,, wh ma [ ] a who covaac gv by: C [ ] {, I h coc wh h aa owa moo. h acoal owa moo a l-mla poc mag ha o ay α α ha h am law a α.

h coa m h g o h covaac o h uu a pa cm. h covaac pov wh, zo wh a gav wh <. Aoh popy o h acoal owa moo ha o ha log ag pc h ha w pu Cov, h h l-mlay a log-ag pc pop mak h acoal owa moo a uabl ool applcao lk mahmacal ac. c o h acoal owa moo h a Makov poc, o a mmagal, w ca o u h uual ochac calculu o aalyz. Wo ll a a pahw gao hoy o acoal owa moo wa vlop L 995, Dcuo a Uul 999 wa pov ha h mak coul hav abag og 997. h acoal owa moo wa o log co o mahmacal molg ac. owv a h vlopm o a w k o gal ba o h Wck pouc Duca, u a Pak-Duca, u a Okal call acoal Io gal, wa pov u a Okal ha h copog Io yp acoal lack-chool mak ha o abag. I h am mahmacal mol v by pap u a Okal a omula o h pc o a uopa opo a v. h pupo o h acl o x h omula o vy [, ]. W oba k-ual valuao omula a a acoal lack-chol quao. W wll alo aalyz h vy cao. h pap ogaz a ollow : co, w m om ul o acoal Io gal, co 3 w pov om ul gag h quacooal xpcao, pcally h bhavo o a Gaov aom, co 4 w apply h ul h uy o h uopa opo.. ackgou I h co w wll p om ul w wll o h o h pap. o mo apc o h ma you may coul h uamal pap cocg acoal Io gal Duca, u a Pak-Duca, u a Okal. o a x, < < : L φ, : mauabl. h L φ φ :, φ <

Dg h pouc w hav ha g, g : φ, φ φ,, φ L a lb pac. I lm L φ : wh a [, : a a Lmma. Io omy I h I ε L φ L φ : xp φ φ { Lmma. h la pa o ε L µ h pobably law o L. b h m polyomal. h, φ x x x I w pu ha ω, ω L φ I α α,...,α I a ohogoal ba µ a w o: α x,. L wh µ, h o all mul-c o ogav g, L Lmma 3. u a Okal ω : h ω, h ω,... h, α α α ω Lmma.3 acoal W-Io chao xpao hom L L µ h h x coa a wh α : α! α!... α! c a α I uch ha: α! X ω c ω µ X L α I α α α c! µ α α I L X. 3

D h o all omal xpao G ω c ω uch ha G, q α I α! c α α I α α αq N < o om q N I ω a ω α α a G ω b α α ω α I Wck pouc o a G by G Lmma.4 L g L ε α I ω a b ω, φ α β α β α, β I. W hav ha, g φ ε g ε g ε ε g h acoal wh o W a m by: W W v φ, v v W hav ha W a w h. I Y : a uco uch ha Y W gabl acoal Io gal by: Y : Y W h Lmma.5 Gomc acoal owa moo Co h acoal al quao: X µ X X, X x W hav ha: X x xp µ o h o o h pac φ D X, D X coul u a Okal., L φ a o h Mallav vav Lmma.6 acoal Io omula Co h acoal al quao: I C, µ ω, ω, µ, L X h w hav:, φ 4

x, X, X, X, X µ x φ, X x, X D X Lmma.7 acoal Gaov omula L a γ a couo upp, upp, uch ha uco wh γ [ ] a a uco wh [ ], γ,, upp [, ] by: γ φ L D a pobably mau µ o h - algba, h Do L µ µ xp ω, γ a acoal owa moo u µ. φ h pac o uco ha a ymmc wh pc o vaabl a <. L W h a gal: I : :!,...,... <... < Lmma.8 acoal W-Io chao xpao hom m o L µ L uch ha: a gal L a X. h h x X ω µ I φ L X L L. µ! W ay ha a omal xpao blog o h pac G G q, G q g q N!, g Lφ g L q < L U G. W hav ha L µ G G q N q 5

L G g G. W h qua-cooal xpcao o G wh pc o, Lmma.9 a L G b L by: [ G] : [ G ]: g. W hav ha [ ] G, G G. W hav ha [ G] [ ] [ G] c L L µ. [ ] - mauabl W ay ha a - aap ochac poc,ω M G, a [ M ] M,. Lmma. a qua-magal a b L L φ a ε : xp [ ], φ ε a qua-magal c L, L φ M a qua-magal a M :, ω. W hav ha M a quamagal Lmma. acoal Clak-Oco hom a L G a b L L µ - mauabl. h [ D ] G [ ] [ ] ω a D W a, - mauabl. h [ D ] [ ] [ ] ω D. W hav ha L φ a 6

3. om ul gag h qua-cooal xpcao L Ω,,µ a pobably l uch ha,ω moo wh pc o µ. a acoal owa hom 3. o vy < < a λ C w hav [ ] λ λ λ Poo: Co h acoal al quao: λ X, X X Ug Lmma.5 w hav ha: c X xp λ λ 3. X ug Lmma. c ollow ha λ X o [ X ] X [ ] λ λ λ q... 3. hom 3. L b a uco uch ha [ ] <. h o vy [ ] x xp xx 3.3 Poo: L b h ou aom o : x x x 7

h h v ou aom o : W hav ha: x x I ollow ha: [ ] [ ] h 3.4 wh h h v ou aom o h pouc bw a. u h uco h ou aom o x xp, x 3.5 Ug h ac ha h ou aom o a covoluo h pouc o h ou aom o h wo uco ollow ha y y h, y q.. Coollay 3.3 A. h L [ ] x A x xp 3.6 A 8

9 L. Co h poc, 3.7 Lmma.7 au u ha h a mau µ uch ha a acoal owa moo u µ. W wll o [] h qua-cooal xpcao wh pc o µ. Co [ ], xp ε 3.8 hom 3.4 L b a uco uch ha [ ] <. h o vy [ ] [ ] 3.9 Poo: Aga w wll o by h ou aom o. W hav [ ] [ ] 3.

O h oh ha [ ] 3. h ul ollow om 3. a 3. q...

4. Applcao o Mahmacal ac Co a acoal lack-hol mak ha ha wo vm pobl:. a moy mak accou: M M M, wh p h coa kl a.. a ock who pc a h quao:, 4.,, δ 4. wh δ, a coa. u a Okal hav how ha h mak o o hav abag a compl. U h k-ual mau µ w hav ha:,, 4.3 W wll o by [ ] k-ual mau. h qua-cooal xpcao wh pc o h gv by hom 4. acoal k-ual valuao h pc a vy [, ] Poo: o a bou [ ] - mauabl clam L µ 4.4 c h mak compl h a plcag poolo o h clam m, who valu : a m M W hav ha m M

y mulplyg wh a gag ollow ha, 4.5 y h acoal Clak-Oco hom Lmma. w hav ha [ ] [ ] D 4.6 om h compl o h mak w g [ ] D, 4.7 o w hav ha [ ] I ollow ha [ ] [ ] 4.8 Ug Lmma. w g ha [ ] [ ] 4.9 om 4.5 a 4.9 w hav ha [ ] q.. hom 4. acoal lack-hol omula h pc a vy [ ], o a uopa call opo wh k pc a mauy gv by, N N C 4. wh l a l a N h cumulav pobably o h aa omal buo.

3 Poo: W hav ha [ ], max, C X { { X { { u w o by l w g x { { xp x x z z xp z z xp N 4. Co h poc, 4. Lmma.7 au u ha h a mau µ uch ha a acoal owa moo u µ. W wll o xp 4.3

4 Ug hom 3.4 w hav ha x { { x { x { { u l l l 4.4 I w o l w g x { { xp x x z z xp z z xp N 4.5

o { N N 4.6 om 4. a 4.6 w g h pc o h opo. q.. hom 4.3 acoal lack-hol quao h pc o a vav o h ock pc wh a bou payo gv by D,, wh D, h oluo o h PD: D D D D D, 4.7 Poo: om hom 4. a hom 3. ollow ha h pc o h vav a a mom a uco o a. A h clacal lack-hol mol w co a poolo ha coa a vav a ock. h valu o h poolo D Π, 4.8 U h mak mau µ ug acoal Io omula Lmma.6 a h ac ha D D u δ D u a w g ha φ D [ ] u, φ, u u D Π, D D δ D δ D 5

W wa h poolo o b kl. o D a Π I ollow ha valuao quao gv by: mak D D Π 4.9 D D q.. A h clacal mol h quao o o p o δ h pc o h uopa call gv by hom hom 4. h oluo o h quao 4.7 wh h bouay coo: D, max, hom 4.5 h Gk h Gk a gv by: C N C ϑ C ρ C Θ N C C Γ N N 4. wh z z Poo: W wll v a gal omula. L y b o o h luc aco. W hav C N N N N 6

u N xp xp xp xp xp xp xp l xp xp I ollow ha: C N N 4. ubug 4. w g h Gk. q.. mak h acoal lack-hol pc o a uopa call opo o log p oly o. A ao may b h ac ha h acoal owa moo ha log mmoy. h pc o a opo a a mom [, ] wll p o h ock pc, bu p h clacal lack-hol mol, wll ak o coao h voluo o h ock pc h po [,]. h luc lc h acoal lack-hol omula by h u paam. Co h mom a wo opo wh mauy o o hm w o a h oh o o. I h clacal lack-hol mol h pc o h wo opo a h mom w qual. I h acoal lack-hol mol h pc o h wo opo a h mom a o log qual. Du o h log mmoy popy, h pc o h. opo alo luc by h voluo o h ock pc h po [ ], 7

c Dcuo, L a A.. Uul 999. ochac aaly o h acoal owa moo. Poal Aaly,, 77-4 Duca,.., Y. u a. Pak-Duca. ochac calculu o acoal owa moo. I. hoy. IAM J. Cool Opm. 38, 58-6. u, Y. a. Okal. acoal wh o calculu a applcao o ac. Pp, Uvy o Olo u, Y.,. Okal, a A. ulm. Opmal coumpo a poolo a lack-chol mak v by acoal owa moo. Pp, Uvy o Olo 3/. L,.J. 995. ochac aaly o acoal owa moo, acoal o a applcao. IAM vw,, 4-437. og, L.C.G 997. Abag wh acoal owa moo. Mahmacal ac, 7, 95-5 8