Sentence examples for volatility diffusion from inspiring English sources

The stochastic volatility diffusion models are first discretized into forms that are amenable for designing the lattice approach, then the paths of the underlying volatility are generated by the lattice, and finally the valuation of the American volatility options is realized by the backward processes.

We exploit the distributional information contained in high-frequency intraday data in constructing a simple conditional moment estimator for stochastic volatility diffusions.

Consequently, the concentration, the heterogeneous electron-transfer rate constant (k0), volatility, and diffusion coefficients (D) of Fc and Fc+, as well as the solubility, k0, and D values for DmFc and DmFc+ were determined under argon and vacuum conditions by fitting the experimental chronoamperometric and voltammetric data with numerical and digital simulations.

Since volatility and diffusion do not substantially alter the relative monoterpene composition it is likely that the monoterpene profiles measured in microdissected tissues is representative of their relative abundance in vivo.

We have substantial revised the text to focus on direct parameter inference of drift parameter μ and diffusion volatility parameter σx, properly separating advection and volatility in the diffusion process.

The parameter κ is the rate of reversion about the long run mean θ, σ is the volatility of the diffusion and γ is the key parameter used for nesting the different models.

Firstly, because both the volatility from the diffusion term (sigma,mathrm{d}B _{t}) and that from the jump term (mathrm{d}J_{t}) have a positive effect on the option prices, the prices in the jump-diffusion model are higher than those in the pure diffusion model.

Although we observe significantly different drift rates between lineages, we observe less variation in diffusion volatility (Table 2).

Of these, the prevailing temperature is well known for its role in the control of diffusion and volatility of volatile compounds and their longevity in the atmosphere [ 32, 33].

As the model of observations of the forward equation we take a diffusion process with small volatility.

The perturbed compound Poisson risk model, first proposed by Gerber [1], is an extension of the classical risk model by adding diffusion process to denote small volatility in the surplus process.