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In this paper, we provide a new proof of the result that option prices are increasing in volatility when the underlying is a diffusion process. This has been shown to hold for convex payoff, path‐independent options by El Karoui et al. and Hobson amongst others. The advantage of the new proof is...
This paper contains an overview of recent development in asymptotic analysis of fields in multi‐structures. We begin with simple examples of scalar dynamic problems in two dimensions, and then present analysis of time‐dependent fields in 1D–3D multi‐structures. The asymptotic results, presented...
Empirical analysis of demand often requires that the functional form of the cost function be specified in advance. The form of the function has to be both consistent with economic theory and sufficiently flexible to accommodate the data. Recent research has indicated that flexible forms do not...
We extend Zeifman's method for bounding the spectral gap and obtain the asymptotical behaviour, as N→∞, of the spectral gap of a class of birth–death Markov chains known as random walks on a complete graph of size N. Copyright © 2000 John Wiley & Sons, Ltd.
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