Results 251 to 260 of about 1,548,082 (284)

Self-Normalized Cramér Type Moderate Deviations for Pooled Estimation in Branching Processes in a Random Environment. [PDF]

Entropy (Basel)
Yao Q, Li M.
europepmc   +1 more source

A Meta-analysis based Hierarchical Variance Model for Powering One and Two-sample <i>t</i>-tests. [PDF]

Stat Biopharm Res
Barth J, Li RC, Wang X.
europepmc   +1 more source

State-Dependent Alterations of Hippocampal Theta-Gamma Coupling in 5xFAD Mice and Their Differential Modulation by Donepezil. [PDF]

Brain Sci
Wang H, Wang Y, Lv Z, Deng Y, Pan C, Li Y, Zhou Z.   +6 more
europepmc   +1 more source

Workload analysis of pilot steep turn maneuvers using SR20 aircraft and EEG data. [PDF]

Front Neurosci
Yuan J, Luo S, Zhang C, Qiao H, Chen H, Jiang C.   +5 more
europepmc   +1 more source

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Local variance gamma revisited

The Journal of Computational Finance, 2015
In 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, Mikhail Vladimirovich Deryabin   +1 more
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The Variance Gamma Process and Option Pricing

Review of Finance, 1998
Abstract 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.
openaire   +3 more sources