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Date: 2017
Language: eng
Resource Type: journal article
Identifier: http://hdl.handle.net/1959.14/1251264
Description: This paper sets out to provide a general framework for the pricing of average-type options via lower and upper bounds. This class of options includes Asian, basket, and options on the volume-weighted ... More
Reviewed: Reviewed
Date: 2014
Language: eng
Resource Type: journal article
Identifier: http://hdl.handle.net/1959.14/339500
Description: In some nonregular statistical estimation problems, the limiting likelihood processes are functionals of fractional Brownian motion (fBm) with Hurst's parameter H, 0 < H ≤ 1. In this paper we present ... More
Reviewed: Reviewed
Date: 2013
Language: eng
Resource Type: journal article
Identifier: http://hdl.handle.net/1959.14/271864
Description: We provide an analytic expression for the variance of ratio of integral functionals of fractional Brownian motion which arises as an asymptotic variance of Pitman estimators for a location parameter o ... More
Reviewed: Reviewed
Date: 2008
Language: eng
Resource Type: journal article
Identifier: http://hdl.handle.net/1959.14/1161211
Description: Using the martingale approach we find sufficient conditions for exponential boundedness of first passage times over a level for ergodic first order autoregressive sequences. Further, we prove a martin ... More
Reviewed: Reviewed
Date: 2005
Language: eng
Resource Type: journal article
Identifier: http://hdl.handle.net/1959.14/9035
Description: Solving some integro-differential equation we find the Laplace transform of the first passage time for filtered Poisson process generated by pulses with uniform or exponential distributions. Also, the ... More
Reviewed: Reviewed
Date: 2003
Language: eng
Resource Type: journal article
Identifier: http://hdl.handle.net/1959.14/12062
Description: The problem of pricing of time-dependent barrier options is considered in the case when interest rate and volatility are given functions in Black-Scholes framework. The calculation of the fair price r ... More
Reviewed: Reviewed
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