we derive closed formulas for the prices of european options andtheir sensitivities when the underlying asset follows a double-exponentialjump diffusion model, as considered by s. kou in 2002. this author hasderived the option price by making use of double series where each termrequires the computation of a sequence of special functions, such thatthe implementation remains difficult for a large...

Size is one of the most controversial influencing factors in the diffusion literature. Some authors argue that large firms have several advantages over smaller firms in the adoption of an innovation (Brown 1981), while others argue that diffusion of innovation in small firms is quicker than in large firms because of the advantages associated with small size (Acs & Audretsh, 1988; Julien, 1993; ...

Through the adoption of a two-step methodology, this paper sets out to examine the pattern of diffusion of mobile telecommunications with the aim of identifying the key factors influencing the diffusion rate for 29 OECD countries and Taiwan between 1980 and 2001. We find that the pattern of diffusion of mobile telecommunications for all the sample countries is generally characterized by an S-sh...

In this paper, we explore a class of tractable interest rate models that have the property price zero-coupon bond can be expressed as polynomial state diffusion process. Our results include classification all such time-homogeneous single-factor in spirit Filipović’s maximal degree theorem for exponential models, well an explicit characterization set feasible parameters case when factor process ...

In the Eyring rate theory, the rate constant is expressed as a product of a frequency factor (kT/h) and a quotient of partition functions. Continuing an earlier paper, it is shown here by means of simple examples that the Eyring formalism may be extended to include diffusion-controlled processes if a new frequency factor, D/Rlambda, is substituted for kT/h, where D = diffusion coefficient, lamb...

Owing to the recent progress in the area of hardware and software of the pulsed field gradient NMR technique, molecular transport in real-life zeolite systems, such as zeolite beds and particles of formulated fluid catalytic cracking (FCC) catalysts, can be investigated in detail. These studies have revealed a number of important features of molecular transport in zeolites, which are reviewed i...

A quantum Markovian activated atom-surface diffusion model with interacting adsorbates is proposed for the intermediate scattering function, which is shown to be complex-valued and factorizable into a classical-like and a quantum-mechanical factor. Applications to the diffusion of Na atoms on flat (weakly corrugated) and corrugated-Cu(001) surfaces at different coverages and surface temperature...

Dynamic light scattering was used to study the dynamic structure factor, S(q,t), of suspensions of charged colloidal silica spheres over the full colloidal time range. We show that a dynamic scaling relation for S(q,t) found by Segrè and Pusey [Phys. Rev. Lett. 77, 771 (1996)10.1103/PhysRevLett.77.771] for hard spheres, relating long-time and short-time dynamics, and collective and self-diffusi...

Recent advances in dynamic factor modelling allow for automated construction of diffusion indices based on large numbers of explanatory variables. We use the methodology proposed by Stock and Watson (1998) to test if such diffusion indices can be used for asset market applications where predictability is expected to be small or nonexistent. Results show that for portfolios formed using the larg...

The measured dynamic aperture of the HERA proton ring and the value expected from simulation studies agree within a factor of 2. A better agreement is achieved if a realistic tune modulation is included in the simulation. The approximate threshold of tune-modulation induced diffusion can be calculated analytically. Its value is in remarkable agreement with the dynamic aperture measured. The cal...