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Showing 1 to 3 of 3 for “"Exponential Formula"”.
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An Exponential Formula for Random Variables Generated by Multiple Brownian Motions
… Dyson-series like representation is the exponential formula. These results had not yet been extended to either fractional Brownian motion with Hurst index less than 1/2, or d-dimensional Brownian motion. The former is still out of reach, but we hope our review of stochastic integration …
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A full asymptotic series of European call option prices in the SABR model with beta=1
<p>We develop two pricing formulae for European options in the SABR model with beta= 1 case by means of Malliavin Calculus. We follow the approach of Alòs et al (2006) who showed that under stochastic volatility framework, the option prices can be written as the sum of the classic Hull-White (1987) …
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Frequency dependent impedance of stranded conductors using the subdivision method
… number of strands have been calculated, and an exponential formula for resistance calculations above 5 kHz is devel-oped. The resistance value at 5 kHz is found by the TUBE formula, and then using the appropriate slope, the resistance of the stranded conductor is estimated at higher frequencies.