Results 31 to 40 of about 123,350 (264)
Pricing with Variance Gamma Information
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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Medicina, 2023 Background and Objectives: Attentional dysfunction has long been viewed as one of the fundamental underlying cognitive deficits in schizophrenia. There is an urgent need to understand its neural underpinning and develop effective treatments.
Ta-Chuan Yeh +8 more
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Option pricing in time-changed Lévy models with compound Poisson jumps
Modern Stochastics: Theory and Applications, 2018 The problem of European-style option pricing in time-changed Lévy models in the presence of compound Poisson jumps is considered. These jumps relate to sudden large drops in stock prices induced by political or economical hits.
Roman V. Ivanov, Katsunori Ano
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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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Journal of Traffic and Transportation Engineering (English ed. Online), 2022 Existing structures may suffer from resistance deterioration due to repeated attacks. The modeling of resistance deterioration is a critical ingredient in the reliability assessment and service life prediction of these degraded structures. In this paper,
Cao Wang
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Power calibration methodology at the CROCUS reactor [PDF]
EPJ Web of Conferences, 2020 In the present article, we detail the method used to experimentally determine the power of the CROCUS zero-power reactor, and to subsequently calibrate its ex-core monitor fission chambers.
Lamirand Vincent +4 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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Journal of Management Science and Engineering, 2022 Condition monitoring and health management of deteriorating systems have attracted significant attentions in reducing failure rate and ensuring normal operation of systems.
Shuguang He +4 more
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A Study of Option Pricing Using Variance Gamma Process
Korean Journal of Applied Statistics, 2012 Option pricing models using Levy processes are suggested as an alternative to the Black-Scholes model since empirical studies showed that the Black-Sholes model could not reflect the movement of underlying assets. In this paper, we investigate whether the Variance Gamma model can reflect the movement of underlying assets in the Korean stock market ...
Hyun-Eui Lee, Seong-Joo Song
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Stochastic Modeling of Wind Derivatives with Application to the Alberta Energy Market
RisksWind-power generators around the world face two risks, one due to changes in wind intensity impacting energy production, and the second due to changes in electricity retail prices.
Sudeesha Warunasinghe +1 more
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