Positive definite quadratic forms in normal variates, which do not necessarily reduce to a multiple of a χ2 variate, arise quite naturally in estimation and hypothesis testing problems related to ...

This is a preview. Log in through your library . Abstract Let X, X₁, X₂,... be i.i.d. ℝd-valued real random vectors. Assume that EX = 0, cov X = ℂ, E∥X∥² = σ² and that X is not concentrated in a ...

This paper provides an efficient and accurate hybrid method to price American standard options in certain jump-diffusion models and American barrier-type options under the Black–Scholes framework. Our ...

There are three groups of optimization techniques available in PROC NLP. A particular optimizer can be selected with the TECH=name option in the PROC NLP statement. Since no single optimization ...