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Review of Derivatives Research, 2010
Kuznetsov (Ann Appl Prob, 2009) introduces a 10-parameter family of Levy processes for which the Wiener-Hopf factors and the distribution of the running supremum (infimum) can be determined semi-analytically. In this text we will examine the numerical performance of this so-called β-family, both in the equity world and in the field of credit risk.
Wim Schoutens, Geert Van Damme
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Kuznetsov (Ann Appl Prob, 2009) introduces a 10-parameter family of Levy processes for which the Wiener-Hopf factors and the distribution of the running supremum (infimum) can be determined semi-analytically. In this text we will examine the numerical performance of this so-called β-family, both in the equity world and in the field of credit risk.
Wim Schoutens, Geert Van Damme
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Implementation of the Variance Gamma Model
SSRN Electronic Journal, 2017The variance gamma model is a three parameter generalization of Brownian motion as a model for the dynamics of the logarithm of the stock price. Although it is possible to explicitly calculate call and put prices because of some misfortune correct formulas are not available in literature. Here I will present the correct expressions.
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Variance-Gamma and Monte Carlo
2007The Variance-Gamma (VG) process was introduced by Dilip B. Madan and Eugene Seneta as a model for asset returns in a paper that appeared in 1990, and subsequently used for option pricing in a 1991 paper by Dilip and Frank Milne. This paper serves as a tutorial overview of VG and Monte Carlo, including three methods for sequential simulation of the ...
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Worldwide variance in the potential utilization of Gamma Knife radiosurgery
Journal of Neurosurgery, 2016OBJECTIVEThe role of Gamma Knife radiosurgery (GKRS) has expanded worldwide during the past 3 decades. The authors sought to evaluate whether experienced users vary in their estimate of its potential use.METHODSSixty-six current Gamma Knife users from 24 countries responded to an electronic survey.
Travis, Hamilton, L, Dade Lunsford
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The Variance Gamma (V.G.) Model for Share Market Returns
The Journal of Business, 1990A new stochastic process, termed the variance gamma process, is proposed as a model for the uncertainty underlying security prices. The unit period distribution is normal conditional on a variance that is distributed as a gamma variate. Its advantages include long tailedness, continuous-time specification, finite moments of all orders, elliptical ...
Madan, Dilip B, Seneta, Eugene
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An empirical test of the variance gamma option pricing model
Pacific-Basin Finance Journal, 2002Abstract In this paper, we test the three-parameter symmetric variance gamma (SVG) option pricing model and the four-parameter asymmetric variance gamma (AVG) option pricing model empirically. Prices of the Hang Seng Index call options, which are of European style, are used as the data for the empirical test.
Lee, MC, Chang, EC, Lam, K
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A Mixture of Variance-Gamma Factor Analyzers
2017The mixture of factor analyzers model is extended to variance-gamma mixtures to facilitate flexible clustering of high-dimensional data. The formation of the variance-gamma distribution utilized is a special and limiting case of the generalized hyperbolic distribution.
Sharon M. McNicholas +2 more
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On risk measuring in the variance-gamma model
Statistics & Risk Modeling, 2017Abstract In this paper, we discuss the problem of calculating the primary risk measures in the variance-gamma model. A portfolio of investments in a one-period setting is considered. It is supposed that the investment returns are dependent on each other.
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Variances and covariances of order statistics from the gamma distribution
Biometrika, 1974SUMMARY The expectations, variances and covariances of the order statistics in a sample of size n from a standardized gamma distribution with parameter r are tabulated for r = 2(1)5 and n = 2(1)10.
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Inference for Variance-Gamma Driven Stochastic Systems
2023 26th International Conference on Information Fusion (FUSION), 2023Joseph Johnson +2 more
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