Results 1 to 10 of about 185,543 (118)
Variance Gamma (nonlocal) equations
Modern Stochastics: Theory and Applications, 2023 Some equations are provided for the Variance Gamma process using the definition other than that based on a time-changed Brownian motion. A new nonlocal equation is obtained involving generalized Weyl derivatives, which is true even in the drifted case ...
Fausto Colantoni
doaj +1 more source
Bayesian estimation of rainfall dispersion in Thailand using gamma distribution with excess zeros [PDF]
PeerJ, 2022 The gamma distribution is commonly used to model environmental data. However, rainfall data often contain zero observations, which violates the assumption that all observations must be positive in a gamma distribution, and so a gamma model with excess ...
Wansiri Khooriphan +2 more
doaj +2 more sources
The variance-gamma ratio distribution
Comptes Rendus. Mathématique, 2023 Let $X$ and $Y$ be independent variance-gamma random variables with zero location parameter; then the exact probability density function of the ratio $X/Y$ is derived.
Gaunt, Robert E., Li, Siqi
doaj +1 more source
PENENTUAN KONTRAK OPSI TIPE EROPA MENGGUNAKAN MODEL SIMULASI VARIANCE GAMMA (VG)
E-Jurnal Matematika, 2023 Options are used as a hedge against stock price uncertainty brought on by unstable stock prices fluctuation. The price of an option contract can be determined using a variety of approaches, one of which is the Variance Gamma. The purpose of this study is
NI KADEK LANI PITRAYANI +2 more
doaj +1 more source
Extension of Short Rate Model Under a Lévy Process
Fountain Journal of Natural and Applied Sciences (FUJNAS), 2023 A lot of abnormalities occur in real-life scenarios, thus leading to some difficulties in modelling such scenarios without a deeper understanding of certain aspects of Lévy processes.
Dr A. M. Udoye
doaj +3 more sources
Special greeks of a variance-gamma driven vasicek model
Scientific African, 2023 Abrupt happenings in financial markets have resulted to the need to adopt Lévy processes such as a variance gamma process in modelling financial derivatives since it has the ability to capture jumps that occur in such scenario.
Adaobi M. Udoye, Lukman S. Akinola
doaj +1 more source
Residue Sum Formula for Pricing Options under the Variance Gamma Model
Mathematics, 2021 We present and prove a triple sum series formula for the European call option price in a market model where the underlying asset price is driven by a Variance Gamma process.
Pedro Febrer, João Guerra
doaj +1 more source
Sand-Dust Image Enhancement Using Chromatic Variance Consistency and Gamma Correction-Based Dehazing
Sensors, 2022 In sand-dust environments, the low quality of images captured outdoors adversely affects many remote-based image processing and computer vision systems, because of severe color casts, low contrast, and poor visibility of sand-dust images.
Jong-Ju Jeon, Tae-Hee Park, Il-Kyu Eom
doaj +1 more source
Pricing with Variance Gamma Information
Risks, 2020 In the information-based pricing framework of Brody, Hughston & Macrina, the market filtration {Ft}t≥0 is generated by an information process {ξt}t≥0 defined in such a way that at some fixed time T an FT-measurable random variable XT is “revealed”.
Lane P. Hughston +1 more
doaj +1 more source
SIFAT-SIFAT DAN KEJADIAN KHUSUS DISTRIBUSI GAMMA
Barekeng, 2021 The gamma distribution is one of special continuous random variable distribution with scale parameter and shape parameter where is positive real numbers.
Royke Yohanes Warella +2 more
doaj +1 more source