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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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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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Asymptotic Normality in Linear Regression with Approximately Sparse Structure
Mathematics, 2022 In this paper, we study the asymptotic normality in high-dimensional linear regression. We focus on the case where the covariance matrix of the regression variables has a KMS structure, in asymptotic settings where the number of predictors, p, is ...
Saulius Jokubaitis, Remigijus Leipus
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Likelihood-based risk estimation for variance-gamma models [PDF]
Statistical Methods & Applications, 2017 zbMATH Open Web Interface contents unavailable due to conflicting licenses.
Bee, Marco +2 more
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LOCAL VARIANCE GAMMA AND EXPLICIT CALIBRATION TO OPTION PRICES [PDF]
Mathematical Finance, 2014 In some options markets (e.g., commodities), options are listed with only a single maturity for each underlying. In others (e.g., equities, currencies), options are listed with multiple maturities. In this paper, we analyze a special class of pure jump Markov martingale models and provide an algorithm for calibrating such models to match the market ...
Carr, Peter, Nadtochiy, Sergey
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FEBS Letters, EarlyView.Proteostasis and the gut microbiota play a key role in shaping host physiology. Microbiota‐derived metabolites, vitamins, and RNA modulate host proteostasis. Findings from model systems, including C. elegans, indicate microbes can either stabilize or disrupt host proteostasis.
Abhishek Anil Dubey, Maria Ermolaeva
wiley +1 more source
Multivariate Downside Risk: Normal Versus Variance Gamma [PDF]
SSRN Electronic Journal, 2010 AbstractAlthough several types of options on multiple assets are popular in today's financial markets, valuing multiasset options is still a challenge in finance. The standard framework of multivariate normality is often inappropriate, since it ignores fat tails and other stylized facts of asset returns.
Wallmeier, Martin, Diethelm, Martin
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The Downside and Upside Beta Valuation in the Variance-Gamma Model
International Journal of Analysis and Applications, 2021 The paper is aimed to assess the risks and gains of investment portfolio which relate to the impact of a particular asset. We consider the investment portfolios which consist of assets with variance-gamma, gamma distributed and deterministic returns. The
Roman V. Ivanov
doaj