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We consider the geometric Markov renewal processes (GMRP) as a model for a security market. Normal deviations of the geometric Markov renewal processes for ergodic averaging and double averaging schemes are derived. We introduce Poisson averaging scheme for the geometric Markov renewal processes. European call option pricing formulas for GMRP are presented. 相似文献
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Agnieszka Schirru-Nowicka Anatoliy Kopets Oleh Harasevych 《Innovation: The European Journal of Social Science Research》2011,24(1-2):57-83
Although the significance of sustainable municipal energy management has not yet been widely recognized in Ukraine, important steps to popularize this idea among local authorities have been taken through the introduction of the Display® campaign in 11 Ukrainian municipalities. This European voluntary energy and environmental performance certification system of buildings aims to encourage local authorities to publicly demonstrate the energy and environmental performance of their buildings and to thereby convince citizens to stop wasting energy and water. This paper analyzes to what extent the campaign has been valuable for sustainable energy management in those Ukrainian cities that have set an example of an active bottom-up approach to enhancing the integration of a former Soviet Union country in the European Union on account of their support of the associations Energy Cities and “Energy Efficient Cities of Ukraine”, as well as their own endeavors to implement EU climate protection policy. 相似文献
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Geography of Twitter networks 总被引:4,自引:0,他引:4
The paper examines the influence of geographic distance, national boundaries, language, and frequency of air travel on the formation of social ties on Twitter, a popular micro-blogging website. Based on a large sample of publicly available Twitter data, our study shows that a substantial share of ties lies within the same metropolitan region, and that between regional clusters, distance, national borders and language differences all predict Twitter ties. We find that the frequency of airline flights between the two parties is the best predictor of Twitter ties. This highlights the importance of looking at pre-existing ties between places and people. 相似文献
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Betuel Canhanga Anatoliy Malyarenko Ying Ni Milica Rančić Sergei Silvestrov 《统计学通讯:理论与方法》2018,47(6):1328-1349
The celebrated Black–Scholes model made the assumption of constant volatility but empirical studies on implied volatility and asset dynamics motivated the use of stochastic volatilities. Christoffersen in 2009 showed that multi-factor stochastic volatilities models capture the asset dynamics more realistically. Fouque in 2012 used it to price European options. In 2013, Chiarella and Ziveyi considered Christoffersen’s ideas and introduced an asset dynamics where the two volatilities of the Heston type act separately and independently on the asset price, and using Fourier transform for the asset price process and double Laplace transform for the two volatilities processes, solved a pricing problem for American options. This paper considers the Chiarella and Ziveyi model and parameterizes it so that the volatilities revert to the long-run-mean with reversion rates that mimic fast (for example daily) and slow (for example seasonal) random effects. Applying asymptotic expansion method presented by Fouque in 2012, we make an extensive and detailed derivation of the approximation prices for European options. We also present numerical studies on the behavior and accuracy of our first- and second-order asymptotic expansion formulas. 相似文献
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