Results 31 to 40 of about 183,802 (261)
Option Pricing in a Dynamic Variance-Gamma Model [PDF]
, 2011 We present a discrete time stochastic volatility model in which the conditional distribution of the logreturns is a Variance-Gamma, that is a normal variance-mean mixture with Gamma mixing density. We assume that the Gamma mixing density is time varying and follows an affine Garch model, trying to capture persistence of volatility shocks and also ...
MERCURI, LORENZO, BELLINI, FABIO
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Stationary-increment Student and variance-gamma processes [PDF]
Journal of Applied Probability, 2006 A continuous-time model with stationary increments for asset price {P t } is an extension of the symmetric subordinator model of Heyde (1999), and allows for skewness of returns. In the setting of independent variance-gamma-distributed returns the model resembles closely that of Madan, Carr, and Chang ...
Finlay, Richard, Seneta, Eugene
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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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Étude théorique de la compression de spin nucléaire par mesure quantique non destructive en continu
Comptes Rendus. Physique, 2021 We propose to take advantage of the very weak coupling of the ground-state helium-3 nuclear spin to its environment to produce very long-lived macroscopic quantum states, here nuclear spin squeezed states, in a gas cell at room temperature.
Serafin, Alan +4 more
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Large Sample Comparison of Parameter Estimates in Gamma Raindrop Distributions
Atmosphere, 2020 Raindrop size distributions have been characterized through the gamma family. Over the years, quite a few estimates of these gamma parameters have been proposed. The natural question for the practitioner, then, is what estimation procedure should be used.
Roger W. Johnson, Donna V. Kliche
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Valuation of reverse convertibles in the variance gamma economy [PDF]
Journal of Derivatives & Hedge Funds, 2012 Prior research on structured products has demonstrated that equity-linked notes (ELNs) sold to retail investors in initial public offerings are typically issued at above their fair market value. A particular type of ELN – reverse convertibles – embed down-and-in put options and offer investors relatively high coupon payments in exchange for bearing ...
Geng Deng, Tim Dulaney, Craig J. McCann
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A matrix approach to the statistics of longevity in heterogeneous frailty models
Demographic Research, 2014 Background: The gamma-Gompertz model is a fixed frailty model in which baseline mortality increasesexponentially with age, frailty has a proportional effect on mortality, and frailty at birth follows a gamma distribution.
Hal Caswell
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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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On the Stochastic Volatility in the Generalized Black-Scholes-Merton Model
Risks, 2023 This paper discusses the generalized Black-Scholes-Merton model, where the volatility coefficient, the drift coefficient of stocks, and the interest rate are time-dependent deterministic functions.
Roman V. Ivanov
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The Variance-Gamma Distribution: A Review
Statistical ScienceThe variance-gamma (VG) distributions form a four-parameter family which includes as special and limiting cases the normal, gamma and Laplace distributions. Some of the numerous applications include financial modelling and distributional approximation on Wiener space.
Fischer, A, Gaunt, RE, Sarantsev, A
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