PORTFOLIO-BASED RISK PRICING: PRICING LONG-TERM PUT OPTIONS WITH GJR-GARCH(1,1)/JUMP DIFFUSION PROCESS

Author(s):  
SERGEI ESIPOV ◽  
DAJIANG GUO
Author(s):  
Yoshinobu Tamura ◽  
Hironobu Sone ◽  
Shigeru Yamada

Various open source software (OSS) projects are in action around the world. Many OSS are developed and maintained under these OSS projects. Considering the characteristics of OSS, the operation performance of OSS development will take an irregular fluctuation in the long term of operation, because several developers and many users are closely related to the maintenance of OSS. This paper focuses on the irregular fluctuation of the operation performance of OSS. We apply the jump diffusion process model to the noisy cases in the operation of OSS. In particular, the maintenance effort is estimated by the stochastic differential equation model in terms of OSS project management. Moreover, we discuss the method of maintenance effort management based on jump diffusion process model considering the irregular fluctuation of performance for OSS projects. In particular, we propose the method of productivity assessment based on the proposed jump diffusion models. Thereby, it is helpful for the OSS development managers to understand the effort status of OSS from the standpoint of OSS project management. Also, we analyze actual data to show numerical examples of the proposed method considering the characteristics of OSS projects.


2018 ◽  
Vol 15 (2) ◽  
pp. 267-306 ◽  
Author(s):  
Donatien Hainaut ◽  
Franck Moraux

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