Results 11 to 20 of about 123,153 (297)
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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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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Efficient simulation of gamma and variance-gamma processes [PDF]
Proceedings of the 2003 International Conference on Machine Learning and Cybernetics (IEEE Cat. No.03EX693), 2004 We study algorithms for sampling discrete-time paths of a gamma process and a variance-gamma process, defined as a Brownian process with random time change obeying a gamma process. The attractive feature of the algorithms is that increments of the processes over longer time scales are assigned to the first sampling coordinates. The algorithms are based
Avramidis, Athanassios.N. +2 more
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Option Pricing under the Variance Gamma Process [PDF]
SSRN Electronic Journal, 2004 In this dissertation we price European and American vanilla and barrier options assuming that the underlying follows the variance gamma process. We solve numerically the problem implementing a finite difference algorithm and we present numerical experiments on the option pricing.
Fiorani, Filo
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Pricing with Variance Gamma Information [PDF]
Risks, 2020 In the information-based pricing framework of Brody, Hughston & Macrina, the market filtration {Ft}t≥0 is generated by an information process {ξt}t≥0 defined in such a way that at some fixed time T an FT-measurable random variable XT is “revealed”.
Lane P. Hughston +1 more
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Dirichlet Bridge Sampling for the Variance Gamma Process: Pricing Path-Dependent Options [PDF]
Management Science, 2009 The authors develop a new Monte Carlo-based method for pricing path-dependent options under the variance gamma (VG) model. The gamma bridge sampling method proposed by Avramidis et al. (Avramidis, A. N., P. L'Ecuyer, P. A. Tremblay. 2003. Efficient simulation of gamma and variance-gamma processes. Proc. 2003 Winter Simulation Conf.
Vladimir K. Kaishev +1 more
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Reliability Engineering & System Safety, 2022 This paper considers the degradation modelling of a non-monotonous health indicator. A Variance Gamma process is proposed for the degradation modelling and its calibration in presence of data is discussed. The remaining useful lifetime estimation based on this model is considered and its sensitivity to parameters estimates is analysed.
Salem, Marwa Belhaj +2 more
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Variance Gamma process for predictive maintenance of mechanical systems
, 2020 La prédiction de la durée de vie résiduelle (RUL) est importante pour le pronostic et l'entretien des systèmes coûteux. Une fiabilité élevée est une condition indispensable pour les systèmes avancés. De même, les praticiens de la fiabilité tentent d'étudier le comportement du système afin d'atténuer le plus possible les risques. L'étude du comportement
Belhaj Salem, Marwa +2 more
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Modelling and Prognostics of System Degradation using Variance Gamma Process [PDF]
Proceedings of the 30th European Safety and Reliability Conference and 15th Probabilistic Safety Assessment and Management Conference, 2020 Nowadays estimation of Remaining Useful Life (RUL) is essential to the prognostics and health management of high-priced systems. Initially, the properties of the VG process and estimation of the parameters are presented. Analytical approximation is also discussed and due to its complexity, a simulated method is proposed.
Belhaj Salem, Marwa +2 more
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Media Statistika, 2022 The Option is widely applied in the financial sector. The Black-Scholes-Merton model is often used in calculating option prices on a stock price movement.
Abdul Hoyyi +2 more
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