This paper provides a method for pricing options in the constant elasticity of variance (CEV) model environment using the Lie-algebraic technique when the model parameters are time-dependent. Analytical solutions for the option values incorporating time-dependent model parameters are obtained in various CEV processes with different elasticity factors. The numerical results indicate that option ...

Time and frequency characterization of precision clocks and oscillators is an important task in the maintenance of time and frequency standards. Recently, time domain signal characterization of clocks is generally preferred and several pedormance measures of clocks and oscillators are defined in ITU-T Recommendation G.810. Among these measures, Maximum Time Interval Error (MTIE), Time Deviation...

This study gives strategies for estimating the modified Allan variance (MVAR), and formulas for computing the equivalent degrees of freedom (edf) of the estimators. A thirddifference formulation of MVAR leads to a tractable formula for edf in the presence of power-law phase noise. The effect of estimation stride on edf is shown. First-degree rational-function approximations for edf are derived,...

In this paper the performance of bagging in classification problems is theoretically analysed, using a framework developed in works by Tumer and Ghosh and extended by the authors. A bias-variance decomposition is derived, which relates the expected misclassification probability attained by linearly combining classifiers trained on N bootstrap replicates of a fixed training set to that attained ...

We develop strategies for integrated use of certain well-known variance reduction techniques to estimate a mean response in a finite-horizon simulation experiment. The building blocks for these integrated variance reduction strategies are the techniques of conditional expectation, correlation induction (including antithetic variates and Latin hypercube sampling), and control variates; and all p...

This paper proposes and estimates a more general parametric stochastic variance model of equity index returns than has been previously considered using data from both underlying and options markets. I conclude that the square root stochastic variance model of Heston (Rev. Financial Stud. 6 (1993) 327) is incapable of generating realistic returns behavior, and that the data are better represente...

In a previous paper we introduced a new variance-reduction technique for regenerative simulations based on permuting regeneration cycles. In this paper we apply this idea to large classes of other estimators. In particular, we derive permuted versions of likelihood-ratio derivative estimators for steady-state performance measures, importance-sampling estima-tors of the mean cumulative reward un...