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...

In this paper, we consider optimal stopping problem for double exponential jump diffusion processes. Moreover, we derive the value function of the option to postpone and its optimal boundary. Also some numerical results are presented to demonstrate analytical sensitives of the value function with respect to parameters.

Hydraulic jump on adverse stilling basin is an unstable phenomenon which causes some complexities in controlling of the   jump. This paper considers the stability of free hydraulic jump on adverse stilling basins from a theoretical point of view. A minimum value of upstream Froude number is needed to produce the free hydraulic jump on adverse stilling basins which was presented by a theoretical...

Protein folding intermediates that are sometimes populated at equilibrium under mild denaturing conditions have attracted much attention as plausible models for the kinetic intermediates transiently populated in the refolding kinetic pathways. Hen egg-white lysozyme is often considered as a typical example of close adherence to the equilibrium, two-state unfolding mechanism. However, recent sma...

We propose a highly efficient and accurate valuation method for exotic-style options based on the novel Shannon wavelet inverse Fourier technique (SWIFT). Specifically, we derive an pricing power under more realistic double exponential jump model with stochastic volatility intensity. The inclusion of such innovations may accommodate various stylised facts observed in prices financial assets, ad...

in a control structures, it is often preferred to minimize the gate width while utilizing the canal width in full for a stilling basin. therefore, to reach this, a gradually diverging stilling basin may be used. in this study, the effect of broad-crested sill on the expanding hydraulic jump in a rectangular channel was investigated. a total number of 79 tests were carried out for the range of i...