scholarly journals Modeling of Path Arrival Rate for In-Room Radio Channels With Directive Antennas

2018 ◽  
Vol 66 (9) ◽  
pp. 4791-4805 ◽  
Author(s):  
Troels Pedersen
Author(s):  
Indah Kurniawati ◽  
Gamantyo Hendrantoro ◽  
Wirawan Wirawan ◽  
Muhammad Taufik

2008 ◽  
Vol 19 (10) ◽  
pp. 2762-2769 ◽  
Author(s):  
Wei-Dong YANG ◽  
Jian-Feng MA ◽  
Ya-Hui LI

2005 ◽  
Vol 08 (02) ◽  
pp. 239-253 ◽  
Author(s):  
PETER CARR ◽  
ALIREZA JAVAHERI

We derive a partial integro differential equation (PIDE) which relates the price of a calendar spread to the prices of butterfly spreads and the functions describing the evolution of the process. These evolution functions are the forward local variance rate and a new concept called the forward local default arrival rate. We then specialize to the case where the only jump which can occur reduces the underlying stock price by a fixed fraction of its pre-jump value. This is a standard assumption when valuing an option written on a stock which can default. We discuss novel strategies for calibrating to a term and strike structure of European options prices. In particular using a few calendar dates, we derive closed form expressions for both the local variance and the local default arrival rate.


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