Results 21 to 30 of about 1,093,895 (300)
Confidence interval estimation of the common mean of several gamma populations
PLoS ONE, 2022 Gamma distributions are widely used in applied fields due to its flexibility of accommodating right-skewed data. Although inference methods for a single gamma mean have been well studied, research on the common mean of several gamma populations are ...
Li Yan
doaj +2 more sources
Higher-order asymptotic corrections and their application to the Gamma Variance Model
European Physical Journal C: Particles and Fields, 2023 We present improved methods for calculating confidence intervals and p values in situations where standard asymptotic approaches fail due to small sample sizes.
Enzo Canonero +2 more
doaj +1 more source
Absolute moments of the variance-gamma distribution
Journal of Mathematical Analysis and Applications11 ...
Gaunt, Robert E.
openaire +4 more sources
APPLICATION OF THE JSIR2S CODE PACKAGE FOR SHUTDOWN DOSE RATE CALCULATIONS ON JET [PDF]
EPJ Web of Conferences, 2021 In this paper we present a computational exercise for shut-down dose rate calculations for the JET tokamak using the in-house developed JSIR2S code package as part of its validation.
Ambrožič Klemen +3 more
doaj +1 more source
On the Moments of the Variance-Gamma Distribution
Statistics & Probability Letters, 2023 6 ...
openaire +3 more sources
Stat, 2023 Lévy processes are useful tools for analysis and modeling of jump‐diffusion processes. Such processes are commonly used in the financial and physical sciences. One approach to building new Lévy processes is through subordination, or a random time change.
Caitlin M. Berry, William Kleiber
openaire +1 more source
SOME PRICING TOOLS FOR THE VARIANCE GAMMA MODEL [PDF]
International Journal of Theoretical and Applied Finance, 2020 We establish several closed pricing formulas for various path-independent payoffs, under an exponential Lévy model driven by the Variance Gamma process. These formulas take the form of quickly convergent series and are obtained via tools from Mellin transform theory as well as from multidimensional complex analysis.
openaire +2 more sources
Pricing Embedded Options Using Fast Fourier Transform to Compare Variance Gamma and Black-Scholes-Merton Model Efficiency [PDF]
Iranian Journal of FinanceEmbedded options are virtually new instruments identical to options in many aspects except their non-tradable nature. Testing the efficiency of the Variance Gamma and Black-Scholes-Merton model on these instruments would provide a vision of transitioning
Alireza Barati, Maryam Khalili Araghi
doaj +1 more source
Econometrics, 2020 Time-varying parameter (TVP) models are very flexible in capturing gradual changes in the effect of explanatory variables on the outcome variable.
Annalisa Cadonna +2 more
doaj +1 more source
Pricing and Hedging Index Options under Mean-Variance Criteria in Incomplete Markets
Computation, 2023 This paper studies the portfolio selection problem where tradable assets are a bank account, and standard put and call options are written on the S&P 500 index in incomplete markets in which there exist bid–ask spreads and finite liquidity.
Pornnapat Yamphram +2 more
doaj +1 more source