In this paper we consider the pricing of an American call option whose underlying asset dynamics evolve under the influence of two independent stochastic volatility processes as proposed in Christoffersen, Heston and Jacobs ...
Deutsch-Jozsa algorithm has been implemented via a quantum adiabatic evolution by S. Das et al. [S. Das, R. Kobes, G. Kunstatter, Phys. Rev. A 65 (2002) 062310]. This adiabatic algorithm gives rise to a quadratic speed up ...
A multilevel genetic algorithm (MLGA) is proposed in this paper for solving the kind of optimization problems which are multilevel structures in nature and have features of mixed-discrete design variables, multi-modal and ...
Chiarella, C; Szidarovsky, F(Universidad de la Frontera, 2009-01)
It is assumed that in an n-firm single-product oligopoly without product differentiation the firms face an uncertain price function, which is considered random by the firms. At each time period each firm simultaneously ...
Melham, R(State University of West Georgia, 2010-01)
Jacobi's two-square theorem states that the number of representations of a positive integer k as a sum of two squares, counting order and sign, is 4 times the surplus of positive divisors of k congruent to 1 modulo 4 over ...
The Average Run Length (ARL) is a performance measure that is frequently used in control charts. Cumulative Sum (CUSUM) is a popular procedure in quality control as it is a sensitive detector of small shifts in values of ...
Suriyakat, W; Areepong, Y; Sukparungsee, S; Mititelu, G(International Association of Engineers, 2012-01)
The Exponentially Weighted Moving Average (EWMA) procedure are used for monitoring and detecting small shifts in the process mean which performs quicker than the Shewhart control chart. Usually, the common assumption of ...
Zhang, J; Zhang, N; Crowther, AR(Kinokuniya Co Ltd, 2011-01)
Brake groan is a friction-induced vibration occurring on the contact surface between rotor and brake in a vehicle. In this paper, a two degree-of-freedom rotor and brake model driven by a displacement input is adopted to ...
We consider the fate of output in the Cournot oligopoly model when the equilibrium is locally unstable. We discuss types of nonlinearities which may be present to bound the motion and introduce time lags in production and ...
Heterogeneous agent models (HAMs) in finance and economics are often characterised by high dimensional nonlinear stochastic differential or difference systems. Because of the complexity of the interaction between the ...
In this study, the two-machine bicriteria flowshop scheduling problem is addressed. The objective is to minimize a weighted sum of total flowtime and makespan. Different branch-and-bound algorithms have already appeared ...
Yeh, W; Ho, H; Chen, Y; Yeh, Y(I C I C International, 2012-01)
Evaluating network reliability is an important topic in the planning, designing and control of network systems. Modications are common for network expansion or reinforcement evaluation and planning. A modied network is an ...
We consider in this article the arbitrage free pricing of double knock-out barrier options with payoffs that are arbitrary functions of the underlying asset, where we allow exponentially time-varying barrier levels in an ...
Many business decision problems involve multiple objectives and can thus be described by multiple objective linear programming (MOLP) models. When a MOLP problem is being formulated, the parameters of objective functions ...
In this study, a special situation involving a computationally di$cult #owshop scheduling problem is discussed. The objective of this problem is to minimize a weighted combination of job #owtime and schedule makespan. An ...
Breast cancer is one of the leading causes of death among the women in many parts of the world. In 2007, approximately 178,480 women in the United States have been found to have invasive breast cancer. In this paper, we ...