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Кількість документів у репозитарії: 7193

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Нові надходження

  • Ескіз
    Тип елементу:Публікація,
    The Black Scholes Exotic Barrier Option Pricing Formula
    (Scientific Publications, 2023) Krykun, I.H.; Крикун, Іван Григорович
    The paper considers a specific type of such financial instrument as an option, namely an exotic barrier call option of the European type. Exotic options are gaining popularity among ordinary investors due to the development of information and telecommunication technologies, thanks to which such specific financial instruments as options have become readily available. We investigate the hedging problem for such options with some restrictions on the payment function and the availability of dividend payment on a risky asset in the classical Black-Scholes model. An analogue of the Black-Scholes formula for the mentioned variant of the exotic barrier is proved. In the future, it is planned to generalize the obtained results for put options and for more general payment functions.
  • Ескіз
    Тип елементу:Публікація,
    Convergence of skew Brownian motions with local times at several points that are contracted into a single one
    (Springer New York LLC, 2017) Krykun, Ivan H.; Крикун, Іван Григорович
    Conditions of convergence in mean of skew Brownian motions with local times at several points that are contracted into a limit point are obtained. It is proved that the limit process is also a skew Brownian motion with local time at the limit point. A formula to calculate the coefficient of the local time of the limit process is given.
  • Ескіз
    Тип елементу:Публікація,
    The Arc-Sine Laws for the Skew Brownian Motion and Their Interpretation
    (Scientific Research Publishing, 2018) Krykun, I.H.; Крикун, Іван Григорович
    We consider the skew Brownian motion as a solution of some stochastic dif ferential equation. We prove for the skew Brownian motion the analogues of the arc-sine laws for Wiener process. Unlike of existing results, we are forced to consider a stochastic differential equation with discontinuous diffusion coefficient. Possible interpretations of obtained results are suggested.
  • Ескіз
    Тип елементу:Публікація,
    New Approach to Statistical Analysis of Election Results
    (Scientific Publications, 2022) Krykun, I.H.; Крикун, Іван Григорович
    In this paper, a new method of detection of election fraud is proposed. This method is based on the calculation of the ratio of two standard normal random variables; estimation of parameters of obtained sample and comparison of these estimates with known theoretical values of parameters. Also in the paper, there is an example of the application of the described method.
  • Ескіз
    Тип елементу:Публікація,
    Some Software Application of the Monte Carlo Method
    (Scientific Publications, 2023) Krykun, Ivan H.; Lukhverchyk, Serhii A.; Крикун, Іван Григорович
    We study the using the Monte Carlo method and its application. Below are several examples of software implementations of the Monte Carlo method for performing calculations that will allow us to determine the necessary information in cases where probability can be applied. Below is a software implementation of the examples in the C# programming language. The programs have a desktop interface and allow us to calculate such values as the number π and the time required to perform certain actions.