Results 251 to 260 of about 123,153 (297)

Line-of-sight stability in unmanned aerial vehicle relays for hybrid free-space optical and visible light communication links under atmospheric effects. [PDF]

PLoS One
Sliti M, Ghafoor S, Ayouni S, Mrabet M, Ammar LB, Ijaz M.   +5 more
europepmc   +1 more source

Modeling DNA storage retrieval reliability via sequencing coverage depth. [PDF]

Brief Bioinform
Cao R, Zhou P, Chen X.
europepmc   +1 more source

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

Flexible yet Sparse Bayesian Survival Models With Time-Varying Coefficients and Unobserved Heterogeneity. [PDF]

Stat Med
Knaus P, Winkler D, Schoppmann SF, Jomrich G.   +3 more
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

The Variance Gamma Scaled Self-Decomposable Process in Actuarial Modelling [PDF]

, 2010
A scaled self-decomposable stochastic process put forward by Carr, Geman, Madan and Yor (2007) is used to model long term equity returns and options prices. This parsimonious model is compared to a number of other one-dimensional continuous time stochastic processes (models) that are commonly used in finance and the actuarial sciences.
Conall O'Sullivan, Michael Moloney
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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
openaire   +4 more sources

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
openaire   +1 more source

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 ...
openaire   +1 more source