Results 71 to 80 of about 778 (112)

A new modified estimator of population variance in calibrated survey sampling

Scientific Reports
In survey statistics, estimating and reducing population variation is crucial. These variations can occur in any sampling design, including stratified random sampling, where stratum weights may increase the variance of estimators. Calibration techniques,
Riffat Jabeen, Azam Zaka, M. Nagy, Hazem Al-Mofleh, Ahmed Z. Afify   +4 more
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Confidence interval estimation for the difference of censored zero-inflated gamma distributions

Scientific Reports
This paper studies the problem of constructing confidence intervals (CIs) for the difference between coefficients of variation (CV) of two censored zero-inflated gamma distributions.
Hongping Guo, Yiran Zhu, Yuhang Qian, Min Wu   +3 more
doaj   +1 more source

A new variance estimation in natural exponential families

Research in Statistics
This article focuses on improving the estimation of population variances for natural exponential family distributions, drawing inspiration from the innovative idea presented by Stein.
Arampamoorthy Laheetharan, Nalini Satkunanathan   +1 more
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The Variance-Gamma Process for Option Pricing

This paper explores the concept of random-time subordination in modelling stock-price dynamics, and We first present results on the Laplace distribution as a Gaussian variance-mixture, in particular a more efficient volatility estimation procedure through the absolute moments.
Shenoy, Rohan, Kempthorne, Peter
openaire   +2 more sources

Absolute moments of the variance-gamma distribution

Journal of Mathematical Analysis and Applications
11 ...
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New Mean-Variance Gamma Method for Automatic Gamma Correction [PDF]

International Journal of Image, Graphics and Signal Processing, 2017
Meriama Mahamdioua, Mohamed Benmohammed
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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

A Singular Gamma Variance Expansion

Wilmott, 2023
We give an analytical expansion for option prices and Black implied volatilities consistent with the Variance Gamma model [MCC98] based on a singular expansion of the standard gamma density in terms of the Dirac functions and its derivatives
openaire   +1 more source