Suppose we are given a multi-dimensional Itô process, which can be regarded as a model for an underlying asset price together with related stochastic processes, e.g., volatility. The drift and diffusion terms for this Itô process are permitted to be arbitrary adapted processes. We construct a weak solution to a diffusion-type equation that matches the distribution of the Itô process at each fix...

The Black-Scholes(BS) model has been widely and successfully used to model the return of asset and to price financial options. Despite of its success the basic assumptions of this model, that is, Brownian motion and normal distribution are not always supported by empirical studies. Those studies showed the two empirical phenomena: (1) the asymmetric leptokurtic features, (2) the volatility smil...

The cost of a Software Product Line (SPL) development project sometimes exceeds the initially planned cost, because of requirements volatility and poor quality. In this paper, we propose a cost overrun simulation model for time-boxed SPL development. The model is an enhancement of a previous model, specifically now including: consideration of requirements volatility, consideration of unplanned ...