Results 251 to 260 of about 1,452,119 (286)
Transcriptomic analysis of a phase 1 trial for intraperitoneal monocytes plus IFNs in ovarian cancer reveals support and recruitment of cell-mediated immunity. [PDF]
J Immunother CancerNing F +5 more
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Efficient Pricing of Barrier Options with the Variance-Gamma Model
Proceedings of the 2004 Winter Simulation Conference, 2004., 2005 We develop an efficient Monte Carlo algorithm for pricing barrier options with the variance gamma model [fMAD98a]. After generalizing the double-gamma bridge sampling algorithm of [fAVR03a], we develop conditional bounds on the process paths and exploit ...
Avramidis, Athanassios.N.
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Minimum Variance Unbiased Estimation in the Gamma Distribution
Communications in Statistics - Simulation and Computation, 1975In this paper a new infinite series UMVU etimator far general functions of the scale parameter in the gamma distribution wita shape parameter known is presented. The formula gives is easy to employ,and also leads to simple approximations to the UMVU. These approximations are shown to perform well is the examples considered.
Woodward, W. A., Gray, H. L.
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Review of Derivatives Research, 2010
Kuznetsov (Ann Appl Prob, 2009) introduces a 10-parameter family of Levy processes for which the Wiener-Hopf factors and the distribution of the running supremum (infimum) can be determined semi-analytically. In this text we will examine the numerical performance of this so-called β-family, both in the equity world and in the field of credit risk.
Wim Schoutens, Geert Van Damme
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Kuznetsov (Ann Appl Prob, 2009) introduces a 10-parameter family of Levy processes for which the Wiener-Hopf factors and the distribution of the running supremum (infimum) can be determined semi-analytically. In this text we will examine the numerical performance of this so-called β-family, both in the equity world and in the field of credit risk.
Wim Schoutens, Geert Van Damme
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Implementation of the Variance Gamma Model
SSRN Electronic Journal, 2017The variance gamma model is a three parameter generalization of Brownian motion as a model for the dynamics of the logarithm of the stock price. Although it is possible to explicitly calculate call and put prices because of some misfortune correct formulas are not available in literature. Here I will present the correct expressions.
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Variance-Gamma and Monte Carlo
2007The Variance-Gamma (VG) process was introduced by Dilip B. Madan and Eugene Seneta as a model for asset returns in a paper that appeared in 1990, and subsequently used for option pricing in a 1991 paper by Dilip and Frank Milne. This paper serves as a tutorial overview of VG and Monte Carlo, including three methods for sequential simulation of the ...
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Worldwide variance in the potential utilization of Gamma Knife radiosurgery
Journal of Neurosurgery, 2016OBJECTIVEThe role of Gamma Knife radiosurgery (GKRS) has expanded worldwide during the past 3 decades. The authors sought to evaluate whether experienced users vary in their estimate of its potential use.METHODSSixty-six current Gamma Knife users from 24 countries responded to an electronic survey.
Travis, Hamilton, L, Dade Lunsford
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