Mean reversion, stochastic volatility, convenience yield and presence of jump clustering are
well documented salient features of commodity markets, where Asian options are very …

It is known that the prices of many commodities exhibit mean reversion and are subject to
jumps. Particularly, there is mounting empirical evidence that suggests the existence of …

We find explicit formulas for the moments of the time integral of an exponential Lévy process.
We consider both the cases of unconditional moments and conditional on the Lévy process …

The valuation and planning of complex projects are becoming increasingly challenging with
rising market uncertainty and the deregulation of many industries, which have also raised …

Asian option is an essentially new type of option. In existing option pricing models, the
Brownian motion is generally the stochastic driving source of changes in the underlying …

Spread option is a exotic option, which allows investors to simultaneously take positions in
two correlated underlying assets and profit from their price difference over some spread …

Models for human choice prediction in preference learning and psychophysics often
consider only binary response data, requiring many samples to accurately learn preferences …

This paper introduces the object-oriented Python package pymle, which provides core
functionality for maximum likelihood estimation and simulation of univariate stochastic …

In this note, we revisit the innovative transform approach introduced by Cai, Song, and Kou
[(2015) A general framework for pricing Asian options under Markov processes. Oper. Res …

本文研究了一类二阶可微随机约束下的碰撞悬臂梁系统周期解的稳定性. 通过推导含参数的随机
零时间不连续映射给出相应的跳跃矩阵, 结合跳跃矩阵和光滑流映射的基解矩阵得到了随机线性 …