Results 11 to 20 of about 183,653 (118)
Residue Sum Formula for Pricing Options under the Variance Gamma Model
Mathematics, 2021 We present and prove a triple sum series formula for the European call option price in a market model where the underlying asset price is driven by a Variance Gamma process.
Pedro Febrer, João Guerra
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Sand-Dust Image Enhancement Using Chromatic Variance Consistency and Gamma Correction-Based Dehazing
Sensors, 2022 In sand-dust environments, the low quality of images captured outdoors adversely affects many remote-based image processing and computer vision systems, because of severe color casts, low contrast, and poor visibility of sand-dust images.
Jong-Ju Jeon, Tae-Hee Park, Il-Kyu Eom
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SIFAT-SIFAT DAN KEJADIAN KHUSUS DISTRIBUSI GAMMA
Barekeng, 2021 The gamma distribution is one of special continuous random variable distribution with scale parameter and shape parameter where is positive real numbers.
Royke Yohanes Warella +2 more
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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
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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
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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
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Efficient Option Pricing under Levy Processes, with CVA and FVA
Frontiers in Applied Mathematics and Statistics, 2015 We generalize the Piterbarg (2010) model to include 1) bilateral default risk as in Burgard and Kjaer (2012), and 2) jumps in the dynamics of the underlying asset using general classes of L'evy processes of exponential type.
Jimmy eLaw +2 more
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Bayesian Option Pricing Framework with Stochastic Volatility for FX Data
Risks, 2016 The application of stochastic volatility (SV) models in the option pricing literature usually assumes that the market has sufficient option data to calibrate the model’s risk-neutral parameters.
Ying Wang +2 more
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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
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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
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