Results 31 to 40 of about 188,093 (295)
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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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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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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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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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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