Results 221 to 230 of about 123,350 (264)

Prediction of hidden blood loss after intramedullary nail fixation of femoral shaft fractures in elderly patients: development and validation of a clinical nomogram based on Gamma regression. [PDF]

BMC Geriatr
Zhao Y, Guo W, Ke C, Wang J.
europepmc   +1 more source

Effects of motor imagery brain-computer interface task on quantitative EEG features in patients with prolonged disorders of consciousness. [PDF]

Front Neurosci
Gao Z, Zhu Z, Wang S, Wu Y, Song Z, Guo Y, Wang H, Mao YJ.   +7 more
europepmc   +1 more source

Laplace Transform-Based Nonparametric Test of Exponentiality against DMRL class with preservation under the Homogeneous Poisson Shock Model and applications in survival analysis and reliability. [PDF]

PLoS One
El-Atfy ES, Gadallah AM, Alsahangiti AM, Balogun OS, Alam FMA, Bakr ME.   +5 more
europepmc   +1 more source

Stage-Dependent Changes in Kynurenine Pathway Enzyme Expression Suggest Immune-Related Involvement in Bladder Cancer Progression. [PDF]

Int J Urol
Lemes DE, Santos AÁS, de Oliveira JL, Roman-Ramos H, Moreno ACR, Camacho CP, Pontes-Junior J, Dellê H.   +7 more
europepmc   +1 more source

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The Variance Gamma Process and Option Pricing

Review of Finance, 1998
Abstract A three parameter stochastic process, termed the variance gamma process, that generalizes Brownian motion is developed as a model for the dynamics of log stock prices. Theprocess is obtained by evaluating Brownian motion with drift at a random time given by a gamma process.
Carr, P, Madan, DB, Chang, EC
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The pricing of compound option under variance gamma process by FFT

Communications in Statistics - Theory and Methods, 2020
In this paper, we price a compound option with log asset price following an extended variance gamma process. The extended variance gamma process can control the skewness and kurtosis.
Cuixiang Li, Huili Liu, Mengna Wang, Wenhan Li   +3 more
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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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Dynamic programming for valuing American options under a variance‐gamma process

Journal of Futures Markets, 2020
AbstractLévy processes provide a solution to overcome the shortcomings of the lognormal hypothesis. A growing literature proposes the use of pure‐jump Lévy processes, such as the variance‐gamma (VG) model. In this setting, explicit solutions for derivative prices are unavailable, for instance, for the valuation of American options. We propose a dynamic
Hatem Ben‐Ameur, Rim Chérif, Bruno Rémillard   +2 more
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The Early Years of the Variance-Gamma Process

2007
Dilip Madan and I worked on stochastic process models with stationary independent increments for the movement of log-prices at the University of Sydney in the period 1980–1990, and completed the 1990 paper [21] while respectively at the University of Maryland and the University of Virginia.
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Properties of the Variance-Gamma Process With Drift Switching Component With Financial Applications

SSRN Electronic Journal, 2020
We consider an extension of the variance-gamma process implying that the linear drift rate of the process can switch suddenly by a jump. The value of jump is modeled by the multidimensional distribution, the jump time is simulated by the exponential distribution.
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