Download PDF by Jacques Janssen (auth.), Jacques Janssen, Christos H.: Advances in Stochastic Modelling and Data Analysis

By Jacques Janssen (auth.), Jacques Janssen, Christos H. Skiadas, Constantin Zopounidis (eds.)

Advances in Stochastic Modelling and knowledge Analysis offers the latest advancements within the box, including their purposes, normally within the components of coverage, finance, forecasting and advertising and marketing. additionally, the potential interactions among info research, man made intelligence, selection help platforms and multicriteria research are tested by way of most sensible researchers.
Audience: a large readership drawn from theoretical and utilized mathematicians, reminiscent of operations researchers, administration scientists, statisticians, computing device scientists, bankers, advertising and marketing managers, forecasters, and medical societies resembling EURO and TIMS.

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1. Then, the expected first passage time of B(t) is: ={ E

O, we obtain E[T0] = B/v, where B,v>O. • 54 REFERENCES 1. N. and E. C. Waymire. Stochastic Processes With Applications, Wiley, New York, 1990. 2. Chernoff, H. 'Sequential Tests For the Mean of a Normal Distribution', in: Pro c. Fourth Berkeley Symp. Math. Statis. , U. California Press, Berkeley, CA, I, 79-92 (1961). 3. Chung, K L. , Academic Press, New York, 1974. 4. Collins, S. M. P. No. 4068, National. Bureau of Economic Research, Cambridge, Mass. (May 1992). 5. Durbin, J. 'The First Passage Density of a Continuous Gaussian Process to a General Boundary', J.

1: Expected Optimal Exercise Time. 3. Then, the expected optimal exercise time of a perpetual American call option, that pays continuous dividends is: E[T] -{ 13/v, if 13 and v > 0 if 13 >0, v ~ 0. 9) In sum, this appears to be a novel result. The closest work to this appears to be Garman's (1989) concept of "fugit" (an abbreviation of the Latin phrase: tempus fugit, or "time flies"). This concept measures the average lifetime of an American option. However, this concept has been developed in a discrete-time setting.

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