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Continuity correction for barrier options in jump-diffusion models
Barrier option Bessel process Continuity correction Exponential L´ evy model
2011/2/22
The aim of this paper is to study the continuity correction for barrier options in jump-diffusion models. For this purpose, we express the pay-off of a barrier option in terms of the maximum of the un...
A spatial version of the Itô-Stratonovich correction
spatial version the Itô -Stratonovich correction
2010/11/9
We consider a class of stochastic PDEs of Burgers type in spatial dimension 1, driven by space-time white noise. Even though it is well-known that these equations are well-posed, it turns out that if ...
Construction of Network Error Correction Codes in Packet Networks
Network Error Correction Codes Packet Networks
2010/11/11
Recently, network error correction coding (NEC) has been studied extensively. Several bounds in classical coding theory have been extended to network error correction coding, especially the Singleton...