Results 31 to 40 of about 1,291 (204)

Pricing and hedging of arithmetic Asian options via the Edgeworth series expansion approach

Journal of Finance and Data Science, 2016
In this paper, we derive a pricing formula for arithmetic Asian options by using the Edgeworth series expansion. Our pricing formula consists of a Black-Scholes-Merton type formula and a finite sum with the estimation of the remainder term.
Weiping Li, Su Chen
doaj   +1 more source

Hybrid reliability analysis of structural fatigue life: Based on Taylor expansion method

Advances in Mechanical Engineering, 2016
A new method for computing the failure probability of the fatigue life is proposed, dealing with uncertain problems with both random and interval variables. Using a Taylor expansion and the concept of statistical moment, the first four central moments of
Guangwei Meng, Xinyu Feng, Liming Zhou, Feng Li   +3 more
doaj   +1 more source

Edgeworth expansion of option prices [PDF]

, 2022
In der vorliegenden Diplomarbeit werden Edgeworth-Entwicklungen zur approximativen Bestimmung von Optionspreisen europäischer Call- und Put-Optionen im stochastischen Volatilitätsmodell von Steven L. Heston untersucht.
Feyertag, Markus
core   +1 more source

Edgeworth expansion in censored linear regression model

, 2003
Censored data, regression, martingale, asymptoticU-statistic, Edgeworth expansion,
Gensheng Qin, Bing-Yi Jing
core   +2 more sources

An Edgeworth Expansion for $U$-Statistics

The Annals of Statistics, 1980
It is shown that, under some regularity conditions on the kernel, a one-sample $U$-statistic with kernel of degree two admits an asymptotic expansion with remainder term $o(N^{-1})$.
Callaert, H., Janssen, P., Veraverbeke, N.   +2 more
openaire   +3 more sources

Detecting Informed Trading Risk from Undercutting Activity

The Journal of Finance, EarlyView.
ABSTRACT We introduce a simple measure of informed trading risk, QIDres$QID^{res}$, the residual to liquidity quote‐improvement‐to‐deterioration ratio times −1$-1$. When facing with increased informed trading risk, liquidity providers compete less to provide liquidity, reducing their undercutting activity. Reductions in undercutting leave footprints in
YASHAR H. BARARDEHI, PETER DIXON, QIYU LIU   +2 more
wiley   +1 more source

Re-Examining Confidence Intervals for Ratios of Parameters

Econometrics
This paper considers the problem of constructing confidence intervals (CIs) for nonlinear functions of parameters, particularly ratios of parameters a common issue in econometrics and statistics.
Zaka Ratsimalahelo
doaj   +1 more source

On Testing for Independence Between Generalized Error Models of Several Time Series

Journal of Time Series Analysis, EarlyView.
ABSTRACT We define generalized innovations associated with generalized error models having arbitrary distributions, that is, distributions that can be mixtures of continuous and discrete distributions. These models include stochastic volatility models and regime‐switching models with possibly zero‐inflated regimes.
Kilani Ghoudi, Bouchra R. Nasri, Bruno N. Rémillard   +2 more
wiley   +1 more source

On the Foundational Arguments of Sufficient Dimension Reduction

WIREs Computational Statistics, Volume 18, Issue 2, June 2026.
Contemporary Sufficient Dimension Reduction, a versatile method for extracting material information from data, can serve as a preprocessor for classical modeling and inference, or as a standalone theory that leads directly to statistical inference. ABSTRACT Sufficient dimension reduction (SDR) refers to supervised methods of dimension reduction that ...
R. Dennis Cook
wiley   +1 more source

Little Known Facts, Controversies and Misconceptions About Cranial Motor Nuclei (and a New Classification for All Motoneurons, Cranial, and Spinal)

Journal of Comparative Neurology, Volume 534, Issue 4, April 2026.
ABSTRACT Cranial nerves represent a notoriously complex province of the neuroanatomical landscape of the vertebrates. Here, we offer a selection of the anatomic, genetic, and developmental features of their efferent component that are often misrepresented, ignored or controversial, as a complement to more exhaustive treatments of the subject.
Margaux Sivori, Bowen Dempsey, Jean‐François Brunet   +2 more
wiley   +1 more source