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Oscar Peralta - One of the best experts on this subject based on the ideXlab platform.

  • An explicit solution to the Skorokhod embedding problem for Double Exponential increments
    arXiv: Probability, 2020
    Co-Authors: Giang T. Nguyen, Oscar Peralta
    Abstract:

    Strong approximations of uniform transport processes to the standard Brownian motion rely on the Skorokhod embedding of random walk with centered Double Exponential increments. In this note we make such an embedding explicit by means of a Poissonian scheme, which both simplifies classic constructions of strong approximations of uniform transport processes (Griego et al. (1971)) and improves their rate of strong convergence (Gorostiza et al. (1980)). We finalise by providing an extension regarding the embedding of a random walk with asymmetric Double Exponential increments.

  • An explicit solution to the Skorokhod embedding problem for Double Exponential increments
    Statistics & Probability Letters, 2020
    Co-Authors: Giang T. Nguyen, Oscar Peralta
    Abstract:

    Strong approximations of uniform transport processes to the standard Brownian motion rely on the Skorokhod embedding of random walk with centered Double Exponential increments. In this note we make such an embedding explicit by means of a Poissonian scheme, which both simplifies classic constructions of strong approximations of uniform transport processes (Griego, 1971) and improves their rate of strong convergence (Gorostiza and Griego, 1980). We finalize by providing an extension regarding the embedding of a random walk with asymmetric Double Exponential increments.

Leela Subramanian - One of the best experts on this subject based on the ideXlab platform.

  • Characterization Properties of Two-Piece Double Exponential Distribution
    American Journal of Mathematical and Management Sciences, 2016
    Co-Authors: V. U. Dixit, Leela Subramanian
    Abstract:

    SYNOPTIC ABSTRACTThe Two-Piece Double Exponential Distribution is known to be very useful in modeling currency rates, interest rates, share price indices, and so on. Two characterization properties of this distribution are derived in this article. These properties are also applicable to the symmetric Laplace distribution and they reduce to well-known characterizations of the Exponential distribution as special cases.

Truc T. Nguyen - One of the best experts on this subject based on the ideXlab platform.

  • Characterization Results for the Skewed Double Exponential Distributions
    Understanding Complex Systems, 2011
    Co-Authors: Keshav Jagannathan, Arjun K. Gupta, Truc T. Nguyen
    Abstract:

    In defining the skew-normal distribution, [1] introduced a method of modifying symmetric distributions to obtain their skewed counterparts. In this paper, the authors present moment properties of the distribution obtained by adding skewness to the Double Exponential distribution, i.e. the Skewed Double Exponential(SDE) distribution ([6]). The authors also provide characterization results of distributions in the SDE family of distributions and present several interesting corollaries of the characterization results.

  • Skewed Double Exponential Distribution and Its Stochastic Representation
    European Journal of Pure and Applied Mathematics, 2009
    Co-Authors: Keshav Jagannathan, Arjun K. Gupta, Truc T. Nguyen
    Abstract:

    Definitions of the skewed Double Exponential (SDE) distribution in terms of a mixture of Double Exponential distributions as well as in terms of a scaled product of a c.d.f. and a p.d.f. of Double Exponential random variable are proposed. Its basic properties are studied. Multi-parameter versions of the skewed Double Exponential distribution are also given. Characterization of the SDE family of distributions and stochastic representation of the SDE distribution are derived.

S. Sethi - One of the best experts on this subject based on the ideXlab platform.

  • Quintessence Model With Double Exponential Potential
    Physics Letters B, 2002
    Co-Authors: Anjan A. Sen, S. Sethi
    Abstract:

    We have reinvestigated the quintessence model with minimally coupled scalar field in the context of recent Supernova observation at $z=1.7$. By assuming the form of the scale factor which gives both the early time deceleration and late time acceleration, consistent with the observations, we show that one needs a Double Exponential potential. We have also shown that the equation of state and the behaviour of dark energy density are reasonably consistent with earlier constraints obtained by different authors. This work shows again the importance of Double Exponential potential for a quintessence field.

Wei-tze Hsu - One of the best experts on this subject based on the ideXlab platform.

  • Compound option pricing under a Double Exponential Jump-diffusion model
    The North American Journal of Economics and Finance, 2018
    Co-Authors: Yu-hong Liu, I-ming Jiang, Wei-tze Hsu
    Abstract:

    A compound option, an option on another option, plays an important role in financial field since it can be used to price American option and corporate debt with discrete coupons. In the real options literature, compound options are most suitable to be employed to investment problems involving sequential decision making. Most compound option and real options formulae are based on log-normal distribution while the empirical evidence shows that the return distribution in real market exhibits asymmetric leptokurtic feature, higher peak and two heavier tails. This paper introduces the jump-diffusion process into pricing compound options and derives the related valuation formulas. We assume that the dynamic of the underlying asset return process consists of a drift component, a continuous Wiener process and discontinuous jump-diffusion processes which have jump times that follow the compound Poisson process and the logarithm of jump size follows the Double Exponential distribution proposed by Kou (2002). Numerical results indicate that the advantage of combining the Double Exponential distribution and normal distribution is that it can capture the phenomena of both the asymmetric leptokurtic features and the volatility smile. Furthermore, the compound options under the Double Exponential jump diffusion model which we derived are more generalized than those proposed by Gukhal (2004) and Geske (1979), and thus have wider application.