The shift from a fossil-fuel to a hydrogen based transportation system requires sufficient supporting infrastructures. This paper develops a real option model to investigate the value of this investment opportunity which is able to handle the multiple uncertainties from market, political and technological aspects. The uncertain market and political uncertain factors will be transformed into a p...

In this paper we investigate the consequences of the choice of the model to partial hedging in incomplete markets in finance. In fact we consider two models for the stock price process. The first model is a geometric Lévy process in which the small jumps might have infinite activity. The second model is a geometric Lévy process where the small jumps are truncated or replaced by a Brownian motio...

The falling and settling of solid particles in gases and liquids is a natural phenomenon happens in many industrial processes. This phenomenon has altered pure forced convection to a combination of heat conduction and heat convection in a flow over a plate. In this paper, the coupling of conduction (inside the plate) and forced convection of a non-homogeneous nanofluid flow (over a flat plate) ...

The real options approach has been usedwithin environmental economics to investigate the impact of uncertainty on the optimal timing of control measures to minimise the impacts of invasive species, including pests and diseases. Previous studies typically model the growth in infected area using geometric Brownian motion (GBM). The advantage of this simple approach is that it allows for closed fo...

Abstract. This paper studies the law of any power of the integral of geometric Brownian motion over any finite time interval. As its main results, two integral representations for this law are derived. This is by enhancing the Laplace transform ansatz of [Y] with complex analytic methods, which is the main methodological contribution of the paper. The one of our integrals has a similar structur...

Human figures have been animated using a wide variety of geometric models including stick figures, polygonal models, and NURBS-based models with muscles, flexible skin, or clothing. This paper reports on experiments designed to ascertain whether a viewer’s perception of motion characteristics is affected by the geometric model used for rendering. Subjects were shown a series of paired motion se...

We use Malliavin calculus and the Clark-Ocone formula to derive the hedging strategy of an arithmetic Asian Call option in general terms. Furthermore we derive an expression for the density of the integral over time of a geometric Brownian motion, which allows us to express hedging strategy and price of the Asian option as an analytic, that is closed form, expression. Numerical computations whi...

The stochastic process choice plays a central role in real option valuation and it can have an impact not only on the project value but also on the investment rule. The first works written on real options used one factor models – more specifically Geometric Brownian Motion (GBM) and Mean Reversion Models (MRM) – to represent the uncertainties in the valuation modeling. Selecting the most approp...

Let ξ1, ξ2,… be i.i.d. random variables of zero mean and finite variance η1, η2,… positive whose distribution belongs to the domain attraction an α-stable distribution, α∈(0,1). The two collections are assumed independent. We consider a Markov chain with jumps types. If present position is positive, then jump ξk occurs; if nonpositive, ηk occurs. prove functional limit theorems for this closely...