In this paper, we consider the valuation of European and path-dependent options in foreign exchange markets when the currency exchange rate evolves according to the Heston model combined with the ...
Abstract: We extend the sensitivity rank condition (SERC), which tests for identifiability of smooth input-output systems, to a broader class of systems. Particularly, we build on our recently ...
The authors present an algorithm for order reduction of linear dynamic SISO discrete systems using the combined advantages of the improved generalized Least squares ...
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