با توجه به رشد بالای جمعیت در جهان و نیاز اطمینان از امنیت غذایی، افزایش تولید واحد سطح محصولات زراعی به‌منزلة راهبردی اساسی حل مسئلة تأمین غذا به‌شمار می‌رود. سوی دیگر، وجود محدودیت زیرکشت پایین‌بودن میانگین عملکرد برخی کشاورزی مانند گندم کشور، محصول می‌تواند راهکاری عملی پاسخ کشور محسوب شود. یکی مهم‌ترین بیماری‌های فوزاریوم است که، نقش پیش‌بینی این بیماری جلوگیری کاهش بهره‌وری محصول، مدل‌هایی...

Let X = (Xt)t≥0 be a Lévy process with absolutely continuous Lévy measure ν. Small time expansions of arbitrary polynomial order in t are obtained for the tails P (Xt ≥ y), y > 0, of the process, assuming smoothness conditions on the Lévy density away from the origin. By imposing additional regularity conditions on the transition density pt of Xt, an explicit expression for the remainder of the...

The short-time asymptotic behavior of option prices for a variety of models with jumps has received much attention in recent years. In the present work, a novel third-order approximation for ATM option prices under the CGMY Lévy model is derived, and extended to a model with an additional independent Brownian component. Our results shed new light on the connection between both the volatility of...

We report on the adequacy of using Sato processes to value equity structured products. In models used to price options on realized variance, the latter must be a random variable with a positive variance. An analysis of this variance of realized variance for Sato processes shows that these processes may be suited to option contracts on realized volatility. Nonlinear pricing principles based on h...

In this paper, we apply Carr’s randomization approximation and the operator form of theWiener-Hopf method to double barrier options in continuous time. Each step in the resulting backward induction algorithm is solved using a simple iterative procedure that reduces the problem of pricing options with two barriers to pricing a sequence of certain perpetual contingent claims with first-touch sing...

The short-time asymptotic behavior of option prices for a variety of models with jumps has received much attention in recent years. In the present work, a novel second-order approximation for ATM option prices under the CGMY Lévy model is derived and, then, extended to a model with an additional independent Brownian component. Our method of proof is based on an integral representation of the op...

شرایط افروزش و اشتعال سوخت‌های گداخت هسته‌ای در حضور ناخالص­‌ها، یکی از موارد مهمی است که طراحی قرص‌های سوخت باید مورد توجه قرار گیرد. این مقاله اثر ناخالصی هسته سنگین طلا بر کلیه فرایندهای احتراق پلاسمای غیرتعادلی دوتریم- تریتیم مدل چهار دمایی آن شکل تابع توزیع انرژی رفتار فوتون‌ها تأثیر می‌گذارد بررسی گرفته است. مطالعه شامل اثرات منفی سوخت، طول زمان تشکیل لکه داغ نتایج محاسبات عددی به­ دست آم...

Truncated realized quadratic variations (TRQV) are among the most widely used high-frequency-based nonparametric methods to estimate volatility of a process in presence jumps. Nevertheless, truncation level is known critically affect its performance, especially infinite variation In this paper, we study optimal level, mean-square error sense, for semiparametric tempered stable Lévy model. We ob...