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Перегляд Theory of Stochastic Processes, 2008, № 3-4 за назвою

Репозиторій DSpace/Manakin

Перегляд Theory of Stochastic Processes, 2008, № 3-4 за назвою

Сортувати за: Порядок: Результатів:

  • Reselling of European option if the implied volatility varies as Cox-Ingersoll-Ross process 
    Pupashenko, M.; Kukush, A. (2008)
    On Black and Scholes market Investor buys a European call option. At each moment of time till the maturity he is allowed to resell the option for the quoted market price. In Kukush et al. (2006) On reselling of European ...
  • Risk process with stochastic premiums 
    Zinchenko, N.; Andrusiv, A. (2008)
    The Cramer-Lundberg model with stochastic premiums which is natural generalization of classical dynamic risk model is considered. Using martingale technique the Lundberg inequality for ruin probability is proved and ...
  • Storage processes in Poisson approximation scheme 
    Koroliuk, V.S. (2008)
    Discrete storage processes, given by a sum of random variables on Markov and semi-Markov processes, are approximated by the Poisson compound processes on increasing time intervals.

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