Results 31 to 40 of about 185,860 (260)
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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Calibration for Weak Variance-Alpha-Gamma Processes [PDF]
Methodology and Computing in Applied Probability, 2018 The weak variance-alpha-gamma process is a multivariate Lévy process constructed by weakly subordinating Brownian motion, possibly with correlated components with an alpha-gamma subordinator. It generalises the variance-alpha-gamma process of Semeraro constructed by traditional subordination.
Boris Buchmann +2 more
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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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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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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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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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