Results 41 to 50 of about 123,153 (297)
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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Efficient pricing of barrier options with the variance-gamma model
, 2004 We develop an efficient Monte Carlo algorithm for pricing barrier options with the variance gamma model [fMAD98a]. After generalizing the double-gamma bridge sampling algorithm of [fAVR03a], we develop conditional bounds on the process paths and exploit ...
Avramidis, Athanassios.N.
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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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On the Pricing of Currency Options under Variance Gamma Process
, 2020 The pricing of currency options is largely dependent on the dynamic relationship between a pair of currencies. Typically, the pricing of options with payoffs dependent on multi-assets becomes tricky for reasons such as the non-Gaussian distribution of financial variable and non-linear macroeconomic relations between these markets.
Abdulsalam, Azwar +2 more
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Option Pricing with Bounded Expected Loss under Variance-Gamma Processes [PDF]
Communications for Statistical Applications and Methods, 2010 Exponential Levy models have become popular in modeling price processes recently in mathematical finance. Although it is a relatively simple extension of the geometric Brownian motion, it makes the market incomplete so that the option price is not uniquely determined. As a trial to find an appropriate price for an option, we suppose a situation where a
Seong-Joo Song, Jong-Woo Song
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Reliability sensitivity numerical analysis of mechanical structure based on gamma processes
Advances in Mechanical Engineering, 2016 Using random variables to describe uncertain parameters in structural systems, its initial strength and the evolution process of the strength degradation is regarded as the Gamma process.
Yanshan Zhang, Zhengmao Yang
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Pricing and Hedging Index Options under Mean-Variance Criteria in Incomplete Markets
Computation, 2023 This paper studies the portfolio selection problem where tradable assets are a bank account, and standard put and call options are written on the S&P 500 index in incomplete markets in which there exist bid–ask spreads and finite liquidity.
Pornnapat Yamphram +2 more
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FEBS Letters, EarlyView.The physical dimensions and shape of bacterial cells define the surface area available to acquire nutrients and the volume available for synthesizing proteins and DNA. Here, we use computational systems biology to decode the importance of cell geometry as a major determinant of prokaryotic phenotype, including growth rate and metabolic efficiency. This
Ross P. Carlson +6 more
wiley +1 more source
Stochastic Processes and their Applications, 2017 zbMATH Open Web Interface contents unavailable due to conflicting licenses.
Buchmann, Boris +3 more
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