A general method to construct recombinant tree approximations for stochastic volatility models is developed and applied to the Heston model for stock price dynamics. In this application, the resulting approximation is a four tuple Markov process. The first two components are related to the stock and volatility processes and take values in a two-dimensional binomial tree. The other two component...

Compound processes are proposed as models for the acquisition of hydatid cysts in sheep, caused by the parasite Echinococcus granulosus. The hypothesis of a clumped infection process against single ingestions is tested and it is shown that the clump-based approach provides a more accurate description of the two data sets investigated. Models with simple and mixed Poisson incidence processes and...

This paper proposes a new efficient algorithm for the computation of Greeks for options using the binomial tree. We also show that Greeks for European options introduced in this article are asymptotically equivalent to the discrete version of Malliavin Greeks. This fact enables us to show that our Greeks converge to Malliavin Greeks in the continuous time model. The computation algorithms of Gr...

Oscillatory behavior of cumulant moments obtained from the experimental data in pp collisions and p̄p collisions are analyzed by the modified negative binomial distribution (MNBD) and the negative binomial distribution (NBD). Both distributions well describe the cumulant moments obtained from the data. This fact shows sharp contrast to the result in ee collisions, which is described by the the M...

We thank the editor and an anonymous referee. Any errors are our own. Abstract Using the WACC to Value Real Options We present a real option valuation using the weighted average cost of capital (WACC). This is an alternative to risk-neutral real option valuation. Using the WACC involves a marginal increase in mathematical complexity, but it is easy to implement in a spreadsheet, and it is easy ...

A new binomial approximation to the Black–Scholes model is introduced. It is shown that for digital options and vanilla European call and put options that a complete asymptotic expansion of the error in powers of n−1 exists. This is the first binomial tree for which such an asymptotic expansion has been shown to exist.

A key issue in designing software multicast algorithms is to consider the trade-off between performance and portability. Portable software multicast algorithms which base on generic communication models cannot capture some architecture-specific features. Without considering the underlying network architecture, these multicast algorithms may not achieve the truly optimal performance when impleme...

Modified Poisson regression, which combines a log Poisson regression model with robust variance estimation, is a useful alternative to log binomial regression for estimating relative risks. Previous studies have shown both analytically and by simulation that modified Poisson regression is appropriate for independent prospective data. This method is often applied to clustered prospective data, d...