Analytical Approximation of the Transition Density in a Local Volatility Model
نویسندگان
چکیده
منابع مشابه
A simple Analytical model for solidification cooling rate based on the local heat flux density
A new simple analytical model for prediction of cooling rate in the solidification process based on the local heat flux density extracted during solidification is introduced. In the modeling procedure, a solidifying control volume is considered in the mushy zone in which a heat balance equation is used to derive the present model. As the local heat flux density is a measurable parameter, the pr...
متن کاملRydberg transition frequencies from the local density approximation.
A method is given that extracts accurate Rydberg excitations from density functional calculations in the local density approximation, despite the short-ranged potential. For the case of He and Ne, the asymptotic quantum defects predicted by the calculations are in less than 5% error, yielding transition frequency errors of less than 0.1 eV.
متن کاملAnalytical formulas for local volatility model with stochastic rates
This paper presents new approximation formulae of European options in a local volatility model with stochastic interest rates. This is a companion paper to our work on perturbation methods for local volatility models in Benhamou et al. (2009c) for the case of stochastic interest rates. The originality of this approach is to model the local volatility of the discounted spot and to obtain accurat...
متن کاملinvestigating the feasibility of a proposed model for geometric design of deployable arch structures
deployable scissor type structures are composed of the so-called scissor-like elements (sles), which are connected to each other at an intermediate point through a pivotal connection and allow them to be folded into a compact bundle for storage or transport. several sles are connected to each other in order to form units with regular polygonal plan views. the sides and radii of the polygons are...
the effect of using critical discourse analytical tools on the improvement of the learners level of critical thinking in reading comprehension
?it is of utmost priority for an experienced teacher to train the mind of the students, and enable them to think critically and correctly. the most important question here is that how to develop such a crucial ability? this study examines a new way to the development of critical thinking utilizing critical discourse analytical tools. to attain this goal, two classes of senior english la...
ذخیره در منابع من
با ذخیره ی این منبع در منابع من، دسترسی به آن را برای استفاده های بعدی آسان تر کنید
ژورنال
عنوان ژورنال: SSRN Electronic Journal
سال: 2011
ISSN: 1556-5068
DOI: 10.2139/ssrn.1856043