4 results
Option pricing under a double-exponential jump-diffusion model with varying severity of jumps
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- Journal:
- Probability in the Engineering and Informational Sciences / Volume 38 / Issue 1 / January 2024
- Published online by Cambridge University Press:
- 10 January 2023, pp. 39-64
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Corrected discrete approximations for the conditional and unconditional distributions of the continuous scan statistic
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- Journal:
- Journal of Applied Probability / Volume 54 / Issue 1 / March 2017
- Published online by Cambridge University Press:
- 04 April 2017, pp. 304-319
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- March 2017
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Analysis of the Discrete Ornstein-Uhlenbeck Process Caused by the Tick Size Effect
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- Journal:
- Journal of Applied Probability / Volume 50 / Issue 4 / December 2013
- Published online by Cambridge University Press:
- 30 January 2018, pp. 1102-1116
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- December 2013
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ON THE VARIANCES OF SYSTEM SIZE AND SOJOURN TIME IN A DISCRETE-TIME DAR(1)/D/1 QUEUE
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- Journal:
- Probability in the Engineering and Informational Sciences / Volume 25 / Issue 4 / October 2011
- Published online by Cambridge University Press:
- 21 July 2011, pp. 519-535
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