4 papers
Refined wing asymptotics for the Merton and Kou jump diffusion models
Stefan Gerhold, Johannes F. Morgenbesser, Axel Zrunek
Refining previously known estimates, we give large-strike asymptotics for the implied volatility of Merton's and Kou's jump diffusion models. They are deduced from call price appro…
Patterns in rational base number systems
Johannes F. Morgenbesser, Wolfgang Steiner, Jörg Thuswaldner
Number systems with a rational number as base have gained interest in recent years. In particular, relations to Mahler's 3/2-problem as well as the Josephus problem have…
On a problem of Chen and Liu concerning the prime power factorization of
Johannes F. Morgenbesser, T. Stoll
For a fixed prime , let denote the order of in the prime factorization of . Chen and Liu (2007) asked whether for any fixed , one has $\{e_p(n^2!) \bmod m:\…
Thue-Morse at Multiples of an Integer
Johannes F. Morgenbesser, Jeffrey Shallit, Thomas Stoll
Let (t_n) be the classical Thue-Morse sequence defined by t_n = s_2(n) (mod 2), where s_2 is the sum of the bits in the binary representation of n. It is well known that for any in…