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This paper presents a method to design optimized local control strategies for Cyber-Physical Systems that produce reliable data models for social applications. Data models have different semantics and abstraction levels. The local control strategies manage ad-hoc nano-clouds of embedded computing and communication nodes (CCNs) used for data collection, modeling, and communication. Control strategies...
Fast pricing of American-style options has been a difficult problem since it was first introduced to financial markets in 1970s, especially when the underlying stocks' prices follow some jump-diffusion processes. In this paper, we propose a new algorithm to generate tight upper bounds on the Bermudan option price without nested simulation, under the jump-diffusion setting. By exploiting the martingale...
Stochastic volatility models capture the impact of time-varying volatility on the financial markets, and hence are heavily used in financial engineering. However, stochastic volatility is not directly observable in reality, but is only “partially” observable through the inference from the observed asset price. Most of the past research studied American option pricing in stochastic volatility models...
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