The main purpose of this paper is to derive unbiased Monte Carlo estimators of various sensitivity indices for an averaged asset price dynamics governed by the gamma Lévy process. The key idea is to apply a scaling property of the gamma process with respect to the Esscher density transform parameter. Our framework covers not only the continuous Asian option, but also European, discrete Asian, a...

One of the major drawbacks of adding signal techniques of reducing peak to average power ratio (PAPR) is the variation of the average power of the transmit signal that undoubtedly degrades the performance of transmission. In this paper, assuming that the baseband OFDM signal is characterized as a complex Gaussian process, we derive an approximation by a simple closed form of the variation of th...

due to the need to find new protein sources with considering the fact that the bitter vetch seed has high levels of protein content, physicochemical and mechanical properties of bitter vetch seed and functional properties of its flour were evaluated in this study. the effects of altering the ph on protein solubility, foaming capacity, foaming stability, emulsion capacity and emulsion stability ...

The microscopic details of printing often are unnoticed by humans, but can make differences that affect machine recognition of printed text. Models of the defects introduced into images by printing can be used to improve machine recognition. A probabilistic model used to generate images showing toner placement bears similarities to actual printed images. An equation derived for the average cove...

In this paper, we investigate the multiple attribute decision making (MADM) problem based on the arithmetic and geometric aggregation operators with interval-valued dual hesitant fuzzy linguistic information. Then, motivated by the ideal of traditional arithmetic operation, we have developed some aggregation operators for aggregating interval-valued dual hesitant fuzzy linguistic information: i...

A sequence of completely positive maps can be decomposed into quantum trajectories. The geometric phase or holonomy of such a trajectory is delineated. For nonpure initial states, it is shown that well-defined holonomies can be assigned by using Uhlmann’s concept of parallel transport along the individual trajectories. We put forward an experimental realization of the geometric phase for a quan...

An efficient algorithm to determine the intersection status between arbitrarily oriented ellipsoids and boxes (OBBs) is presented. By choosing a proper representation of the geometric objects and by utilizing an affine transformation of space, the problem is converted into a corresponding sphere-parallelepiped intersection test. Thereby, the evaluation of more costly mathematical operations oth...

A fast numerical procedure is presented for computing growth distances between a pair of polytopes in three dimensional space that move incrementally along specified smooth paths. The procedure carrys out the growth distance evaluations efficiently by predicting and verifying contact configurations between a pair of grown polytopes. In the prediction and verification the procedure uses vertex a...

In the first ‘Wavelets and Statistics’ conference proceedings 1, our group published ‘Wavelab and Reproducible Research’, in which we advocated using the internet for publication of software and data so that research results could be duplicated by others. Much has happened in the last decade that bears on the notion of reproducibility, and we will review our experience. We will also describe a ...