Results 11 to 20 of about 1,291 (204)

The Convergence Rate of Option Prices in Trinomial Trees

Risks, 2023
We study the convergence of the binomial, trinomial, and more generally m-nomial tree schemes when evaluating certain European path-independent options in the Black–Scholes setting.
Guillaume Leduc, Kenneth Palmer
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Edgeworth expansions for network moments

The Annals of Statistics, 2022
Network method of moments arXiv:1202.5101 is an important tool for nonparametric network inference. However, there has been little investigation on accurate descriptions of the sampling distributions of network moment statistics. In this paper, we present the first higher-order accurate approximation to the sampling CDF of a studentized network moment ...
Yuan Zhang, Dong Xia
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Bootstrap, jackknife and Edgeworth approximations for finite population L-statistics

Lietuvos Matematikos Rinkinys, 2010
In this paper we give exact bootstrap estimators for the parameters defining one-term Edgeworth expansion of distribution function of finite population L-statistic and compare these estimators with corresponding jackknife estimators. We also compare `````
Andrius Čiginas
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Edgeworth Expansions and Smoothness

The Annals of Probability, 1982
We give a necessary and sufficient condition for the distribution function of $n^{-1/2} \sum^n_{i=1} X_i$, where the $X_i$ are independently identically distributed with $EX_1 = 0, EX^2_1 = 1$ and $E|X_1|^{k+3} < \infty$, to possess an Edgeworth expansion to $k$ terms. The condition is not practicable but clarifies the relation between the existence of
Bickel, P. J., Robinson, J.
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Asymptotic series expansion for the probability density function of the interference due to Faster-Than-Nyquist signaling

Engineering Science and Technology, an International Journal, 2017
A follow-up on a recent analytical investigation into the statistical characteristics of the Intersymbol Interference (ISI) due to Faster-Than-Nyquist (FTN) signaling is presented.
Zouhir Bahri
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An Edgeworth Expansion for the Ratio of Two Functionals of Gaussian Fields and Optimal Berry–Esseen Bounds

Mathematics, 2021
This paper is concerned with the rate of convergence of the distribution of the sequence {Fn/Gn}, where Fn and Gn are each functionals of infinite-dimensional Gaussian fields.
Yoon-Tae Kim, Hyun-Suk Park
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Investigation of the Static Performance of Hydrostatic Thrust Bearings Considering Non-Gaussian Surface Topography

Lubricants, 2023
The dynamic and static characteristics of hydrostatic thrust bearings are significantly affected by the bearing surface topography. Previous studies on hydrostatic thrust bearings have focused on Gaussian distribution models of bearing surface topography.
Huaiqing Lu, Zhuxin Tian
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A Method for Solving Reliability of Route Travel Time

Journal of Function Spaces, 2020
In order to obtain an effective method for solving route travel time reliability, this paper proposes an effective new method to calculate travel time reliability using an independent link travel time function. Based on several months of historical data,
Hongwei Ma, Gan Yi, Jianmin Qi, Zhenjie Zhang   +3 more
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On the Validity of the Formal Edgeworth Expansion

The Annals of Statistics, 1978
zbMATH Open Web Interface contents unavailable due to conflicting licenses.
Bhattacharya, R. N., Ghosh, J. K.
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Momentos estocásticos de orden superior y la estimación de la volatilidad implícita: aplicación de la expansión de Edgeworth en el modelo Black-Scholes

Estudios Gerenciales, 2014
El documento utiliza la expansión de Edgeworth en el modelo de Black-Scholes para estimar la volatilidad implícita y el impacto en el precio de la opción de los momentos estocásticos de orden superior, sobre contratos de opciones del Grupo Financiero ...
Gastón Silverio Milanesi
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