Results 31 to 40 of about 1,325,287 (138)
Stat, 2023 Lévy processes are useful tools for analysis and modeling of jump‐diffusion processes. Such processes are commonly used in the financial and physical sciences. One approach to building new Lévy processes is through subordination, or a random time change.
Caitlin M. Berry, William Kleiber
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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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SOME PRICING TOOLS FOR THE VARIANCE GAMMA MODEL [PDF]
International Journal of Theoretical and Applied Finance, 2020 We establish several closed pricing formulas for various path-independent payoffs, under an exponential Lévy model driven by the Variance Gamma process. These formulas take the form of quickly convergent series and are obtained via tools from Mellin transform theory as well as from multidimensional complex analysis.
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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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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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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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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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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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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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