Results 11 to 20 of about 275,098 (284)
On the cumulative distribution function of the variance-gamma distribution [PDF]
Bulletin of the Australian Mathematical Society, 2023 We obtain exact formulas for the cumulative distribution function of the variance-gamma distribution, as infinite series involving the modified Bessel function of the second kind and the modified Lommel function of the first kind. From these formulas, we
Robert E. Gaunt
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Tail asymptotics for the bivariate equi-skew Variance-Gamma distribution [PDF]
, 2020 14 ...
Thomas Fung, E. Seneta
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The extended gamma distribution with regression model and applications
AIMS Mathematics, 2021 This paper introduces a new extension of the gamma distribution, named as a new extended gamma distribution, via mixture representation of xgamma and gamma distributions.
Emrah Altun +3 more
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Mixtures of Variance-Gamma Distributions [PDF]
, 2013 A mixture of variance-gamma distributions is introduced and developed for model-based clustering and classification. The latest in a growing line of non-Gaussian mixture approaches to clustering and classification, the proposed mixture of variance-gamma distributions is a special case of the recently developed mixture of generalized hyperbolic ...
Sharon M. McNicholas +2 more
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An ECM algorithm for Skewed Multivariate Variance Gamma Distribution in\n Normal Mean-Variance Representation [PDF]
, 2015 Normal mean-variance mixture distributions are widely applied to simplify a model's implementation and improve their computational efficiency under the Maximum Likelihood (ML) approach. Especially for distributions with normal mean-variance mixtures representation such as the multivariate skewed variance gamma (MSVG) distribution, it utilises the ...
Thanakorn Nitithumbundit, Jennifer Chan
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The Quarterly Review of Economics and Finance, 2021 Abstract Advanced stochastic approaches are often suggested as a solution to real-world derivative pricing inconsistencies like the non-linearity of the implied volatility smile. Using a novel high-frequency data set with over one million option trades and corresponding order books from the German market, we compare the normal distribution approach ...
Markus Ulze +2 more
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SSRN Electronic Journal, 2012 In this paper we primarily obtain the explicit formulas for the distribution function of the variance gamma process. The formulas are based on values of hypergeometric functions. This result is applied to European option pricing. Basing on the established formulas, we get the prices of binary options, as long as the price of European call which was ...
Roman V. Ivanov
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ON THE CUMULATIVE DISTRIBUTION FUNCTION OF THE VARIANCE-GAMMA DISTRIBUTION
Bulletin of the Australian Mathematical SocietyAbstractWe obtain exact formulas for the cumulative distribution function of the variance-gamma distribution, as infinite series involving the modified Bessel function of the second kind and the modified Lommel function of the first kind. From these formulas, we deduce exact formulas for the cumulative distribution function of the product of two ...
Robert E. Gaunt
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, 2017 The multivariate skewed variance gamma (VG) distribution is useful for modelling data with heavy-tails and high density around the location parameter. When the shape parameter is sufficiently small, the density function is unbounded at the location parameter. In this thesis, we proposed three modifications to appropriately bound the likelihood function
Thanakorn Nitithumbundit
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Pricing European Options under Stochastic Volatility Models: Case of Five-Parameter Variance-Gamma Process [PDF]
Journal of Risk and Financial Management, 2022 The paper builds a Variance-Gamma (VG) model with five parameters: location (μ), symmetry (δ), volatility (σ), shape (α), and scale (θ); and studies its application to the pricing of European options.
A H nzokem
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