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Cost analysis of the use of digital rectoscopy versus flexible sigmoidoscopy in rectal cancer patients undergoing watch and wait. [PDF]
BMJ OpenSekhon Inderjit Singh HK +5 more
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Scalable biomarkers of Parkinson's disease: insights from mobile EEG in Peru. [PDF]
Sci RepBrown G +5 more
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Optimizing gamma irradiation for genotype-specific enhancement of pollen performance and haploid induction in cucumber (Cucumis sativus L.). [PDF]
Sci RepEbadi Hasan Abadi M +3 more
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The Delta-Kappa-Gamma bulletin international journal for professional educators
, 1934 Delta Kappa Gamma Society
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Efficient Pricing of Barrier Options with the Variance-Gamma Model [PDF]
Proceedings of the 2004 Winter Simulation Conference, 2004., 2005 We develop an efficient Monte Carlo algorithm for pricing barrier options with the variance gamma model [fMAD98a]. After generalizing the double-gamma bridge sampling algorithm of [fAVR03a], we develop conditional bounds on the process paths and exploit ...
Avramidis, Athanassios.N.
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Local variance gamma revisited
The Journal of Computational Finance, 2015In this paper we develop a new method for implied volatility surface construction for FX options. The methodology is based on the local variance gamma model developed by Carr (2008). Our approach is to solve a simplified "one-step" version of the Dupire equation analytically under the assumption of a continuous five parameter diffusion function.
Markus Falck +1 more
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The Variance Gamma Process and Option Pricing
Review of Finance, 1998Abstract A three parameter stochastic process, termed the variance gamma process, that generalizes Brownian motion is developed as a model for the dynamics of log stock prices. Theprocess is obtained by evaluating Brownian motion with drift at a random time given by a gamma process.
Carr, P, Madan, DB, Chang, EC
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A MULTIVARIATE VARIANCE GAMMA MODEL FOR FINANCIAL APPLICATIONS [PDF]
International Journal of Theoretical and Applied Finance, 2008 In this paper we subordinate a multivariate Brownian motion with independent components by a multivariate gamma subordinator. The resulting process is a generalization of the bivariate variance gamma process proposed by Madan and Seneta [7], mentioned in Cont and Tankov [4] and calibrated in Luciano and Schoutens [5] as a price process.
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Review of Derivatives Research, 2010
Kuznetsov (Ann Appl Prob, 2009) introduces a 10-parameter family of Levy processes for which the Wiener-Hopf factors and the distribution of the running supremum (infimum) can be determined semi-analytically. In this text we will examine the numerical performance of this so-called β-family, both in the equity world and in the field of credit risk.
Wim Schoutens, Geert Van Damme
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Kuznetsov (Ann Appl Prob, 2009) introduces a 10-parameter family of Levy processes for which the Wiener-Hopf factors and the distribution of the running supremum (infimum) can be determined semi-analytically. In this text we will examine the numerical performance of this so-called β-family, both in the equity world and in the field of credit risk.
Wim Schoutens, Geert Van Damme
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Implementation of the Variance Gamma Model
SSRN Electronic Journal, 2017The variance gamma model is a three parameter generalization of Brownian motion as a model for the dynamics of the logarithm of the stock price. Although it is possible to explicitly calculate call and put prices because of some misfortune correct formulas are not available in literature. Here I will present the correct expressions.
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