Results 11 to 20 of about 1,451,186 (286)
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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Geometric Local Variance Gamma Model [PDF]
The Journal of Derivatives, 2019 This paper describes another extension of the Local Variance Gamma model originally proposed by P. Carr in 2008, and then further elaborated on by Carr and Nadtochiy, 2017 (CN2017), and Carr and Itkin, 2018 (CI2018). As compared with the latest version of the model developed in CI2018 and called the ELVG (the Expanded Local Variance Gamma model), here ...
Carr, Peter, Itkin, Andrey
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Pricing and Hedging Index Options under Mean-Variance Criteria in Incomplete Markets
Computation, 2023 This paper studies the portfolio selection problem where tradable assets are a bank account, and standard put and call options are written on the S&P 500 index in incomplete markets in which there exist bid–ask spreads and finite liquidity.
Pornnapat Yamphram +2 more
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PRICING EUROPEAN OPTIONS IN THE VARIANCE GAMMA MODEL
Quantitative Methods in Economics, 2019 The purpose of the article was to investigate if it is posssible to speed up the process of pricing European options in the variance gamma setting. The analysis carried out for this purpose refers to the choice of the Fourier transform scheme, which allows to obtain accurately and fast the final result (theoretical value of the European option).
Arkadiusz Orzechowski
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PENENTUAN KONTRAK OPSI TIPE EROPA MENGGUNAKAN MODEL SIMULASI VARIANCE GAMMA (VG)
E-Jurnal Matematika, 2023 Options are used as a hedge against stock price uncertainty brought on by unstable stock prices fluctuation. The price of an option contract can be determined using a variety of approaches, one of which is the Variance Gamma. The purpose of this study is
NI KADEK LANI PITRAYANI +2 more
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Extension of Short Rate Model Under a Lévy Process
Fountain Journal of Natural and Applied Sciences (FUJNAS), 2023 A lot of abnormalities occur in real-life scenarios, thus leading to some difficulties in modelling such scenarios without a deeper understanding of certain aspects of Lévy processes.
Dr A. M. Udoye
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Special greeks of a variance-gamma driven vasicek model
Scientific African, 2023 Abrupt happenings in financial markets have resulted to the need to adopt Lévy processes such as a variance gamma process in modelling financial derivatives since it has the ability to capture jumps that occur in such scenario.
Adaobi M. Udoye, Lukman S. Akinola
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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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The Variance Gamma Distribution [PDF]
Significance, 2019 Abstract Scott Nestler and Andrew Hall provide an overview of a little-known but highly flexible distribution, which can be useful for modelling share price ...
Scott Nestler, Andrew Hall
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