Results 11 to 20 of about 1,548,082 (284)
The Variance Gamma++ process and applications to energy markets [PDF]
Applied Stochastic Models in Business and Industry, 2022 AbstractThe purpose of this article is to introduce a new Lévy process, termed the Variance Gamma++ process, to model the dynamics of assets in illiquid markets. Such a process has the mathematical tractability of the Variance Gamma process and is obtained by applying the self‐decomposability of the gamma law.
Matteo Gardini +2 more
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On American Options Under the Variance Gamma Process [PDF]
Applied Mathematical Finance, 2007 American options are considered in a market where the underlying asset follows a Variance Gamma process. A sufficient condition is given for the failure of the smooth fit principle for finite horizon call options. A second‐order accurate finite‐difference method is proposed to find the American option price and the exercise boundary.
A. Almendral, C.W. Oosterlee (Kees)
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Calibration for Weak Variance-Alpha-Gamma Processes [PDF]
Methodology and Computing in Applied Probability, 2018 The weak variance-alpha-gamma process is a multivariate Lévy process constructed by weakly subordinating Brownian motion, possibly with correlated components with an alpha-gamma subordinator. It generalises the variance-alpha-gamma process of Semeraro constructed by traditional subordination.
Boris Buchmann +2 more
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The Variance-Gamma Product Distribution. [PDF]
Results MathAbstract We derive the exact probability density function of the product of N independent variance-gamma random variables with zero location parameter. We then apply this formula to derive formulas for the cumulative distribution function and characteristic function, as well
Gaunt RE, Li S, Sutcliffe HL.
europepmc +5 more sources
Variance Gamma (non-local) equations
, 2022 We provide some equations for the Variance Gamma process due to the fact that we do not consider only the definition as a time-changed Brownian motion. This brings us to a new non-local equation, even true in the drifted case, involving generalized Weyl derivatives.
Colantoni, Fausto
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An Expanded Local Variance Gamma Model [PDF]
Computational Economics, 2020 38 pages, 8 figures, 5 ...
P. Carr, A. Itkin
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On risk measuring in the variance-gamma model
Statistics & Risk Modeling, 2017 Abstract In this paper, we discuss the problem of calculating the primary risk measures in the variance-gamma model. A portfolio of investments in a one-period setting is considered. It is supposed that the investment returns are dependent on each other.
Roman V. Ivanov
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Media Statistika, 2022 The Option is widely applied in the financial sector. The Black-Scholes-Merton model is often used in calculating option prices on a stock price movement.
Abdul Hoyyi +2 more
doaj +1 more source
Bayesian estimation of rainfall dispersion in Thailand using gamma distribution with excess zeros [PDF]
PeerJ, 2022 The gamma distribution is commonly used to model environmental data. However, rainfall data often contain zero observations, which violates the assumption that all observations must be positive in a gamma distribution, and so a gamma model with excess ...
Wansiri Khooriphan +2 more
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Mathematics, 2021 Recently, maintaining a complex mechanical system at the appropriate times is considered a significant task for reliability engineers and researchers. Moreover, the development of advanced mechanical systems and the dynamics of the operating environments
Marwa Belhaj Salem +2 more
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