2 citations · 4 across the 8 of their papers we have counts for
6 papers · 1 filter
A New Algorithm to Simulate the First Exit Times of a Vector of Brownian Motions, with an Application to Finance
Chiu-Yen Kao, Qidi Peng, Henry Schellhorn +1
We provide a new methodology to simulate the first exit times of a vector of Brownian motions from an orthant. This new approach can be used to simulate the first exit times of dim…
Estimation of the Pointwise Hölder Exponent of Hidden Multifractional Brownian Motion Using Wavelet Coefficients
Sixian Jin, Qidi Peng, Henry Schellhorn
We propose a wavelet-based approach to construct consistent estimators of the pointwise Hölder exponent of a multifractional Brownian motion, in the case where this underlying proc…
Fractional Hida Malliavin Derivatives and Series Representations of Fractional Conditional Expectations
Sixian Jin, Qidi Peng, Henry Schellhorn
We represent fractional conditional expectations of a functional of fractional Brownian motion as a convergent series in L^2 space. When the target random variable is some function…
A Representation Theorem for Smooth Brownian Martingales - New Example
Sixian Jin, Qidi Peng, Henry Schellhorn
We show that, under certain smoothness conditions, a Brownian martingale, when evaluated at a fixed time, can be represented via an exponential formula at a later time. The time-de…
A Bond Option Pricing Formula in the Extended CIR Model, with an Application to Stochastic Volatility
Zheng Liu, Qidi Peng, henry Schellhorn
We provide a complete representation of the interest rate in the extended CIR model. Since it was proved in Maghsoodi (1996) that the representation of the CIR process as a sum of…
A Representation Theorem for Smooth Brownian Martingales
Henry Schellhorn
We show that, under certain smoothness conditions, a Brownian martingale at a fixed time can be represented as an exponential of its value at a later time. The time-dependent gener…