Results 261 to 270 of about 1,548,082 (284)

Minimum Variance Unbiased Estimation in the Gamma Distribution

Communications in Statistics - Simulation and Computation, 1975
In this paper a new infinite series UMVU etimator far general functions of the scale parameter in the gamma distribution wita shape parameter known is presented. The formula gives is easy to employ,and also leads to simple approximations to the UMVU. These approximations are shown to perform well is the examples considered.
Woodward, W. A., Gray, H. L.
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A Singular Gamma Variance Expansion

Wilmott, 2023
We give an analytical expansion for option prices and Black implied volatilities consistent with the Variance Gamma model [MCC98] based on a singular expansion of the standard gamma density in terms of the Dirac functions and its derivatives
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The β-variance gamma model

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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A generalized variance gamma process for financial applications

Quantitative Finance, 2012
In this work we propose a new multivariate pure jump model. We fully characterize a multivariate Levy process with finite- and infinite-activity components in positive and negative jumps. This process generalizes the variance gamma process, featuring a ‘stochastic volatility’ effect due to Poisson randomized intensities of positive and negative gamma ...
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Implementation of the Variance Gamma Model

2017
The 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

2007
The 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, 2016
OBJECTIVEThe 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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A Mixture of Variance-Gamma Factor Analyzers

2017
The 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, Paul D. McNicholas, Ryan P. Browne   +2 more
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Inference for Variance-Gamma Driven Stochastic Systems

2023 26th International Conference on Information Fusion (FUSION), 2023
Joseph Johnson, Yaman Kindap, Simon J. Godsill   +2 more
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Variances and covariances of order statistics from the gamma distribution

Biometrika, 1974
SUMMARY 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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