Gulisashvili et al. [Quant. Finance, 2018, 18(10), 1753–1765] provide short term asymptotics for the mass at zero under uncorrelated stochastic-alpha-beta-rho (SABR) model by approximating integrated variance with a moment-matched lognormal distribution. We improve accuracy of numerical integration using Gauss–Hermite quadrature. further obtain option price similarly integrating constant elasti...

The posterior Cramér-Rao bound (PCRB) is a fundamental tool to assess the accuracy limit of Bayesian estimation problem. In this article, we propose novel framework compute PCRB for general nonlinear filtering problem with additive white Gaussian noise. It uses mixture model represent and propagate uncertainty contained in state vector Gauss-Hermite quadrature rule mathematical expectations vec...

Recently, a higher dimensional Eisenstein-Jacobi (EJ) networks, EJ (n) α , has been proposed in [22], which is shown that they have better average distance with more number of nodes than a single dimensional EJ networks. Some communication algorithms such as one-to-all and all-to-all communications are well known and used in interconnection networks. In one-to-all communication, a source node s...