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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Multivariate subordination using generalised Gamma convolutions with applications to Variance Gamma processes and option pricing [PDF]
Stochastic Processes and their Applications, 2017 zbMATH Open Web Interface contents unavailable due to conflicting licenses.
Buchmann, Boris +3 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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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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Gamma oscillations in visual statistical learning correlate with individual behavioral differences
Frontiers in Behavioral Neuroscience, 2023 Statistical learning is assumed to be a fundamentally general sensory process across modalities, age, other cognitive functions, and even species.
Szabolcs Sáringer +3 more
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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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A new methodological framework for geophysical sensor combinations associated with machine learning algorithms to understand soil attributes [PDF]
Geoscientific Model Development, 2022 Geophysical sensors combined with machine learning algorithms were used to understand the pedosphere system and landscape processes and to model soil attributes.
D. C. D. Mello +10 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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The Risk Measurement under the Variance-Gamma Process with Drift Switching [PDF]
Journal of Risk and Financial Management, 2022 The paper discusses an extension of the variance-gamma process with stochastic linear drift coefficient. It is assumed that the linear drift coefficient may switch to a different value at the exponentially distributed time. The size of the drift jump is supposed to have a multinomial distribution.
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A note on the Estimation of a Gamma-Variance Process: Learning from a Failure [PDF]
Computational Economics, 2016 This paper confirms that, as originally reported in Seneta (Journal of Applied Probability 41:177---187, 2004, p. 183), it is impossible to replicate Madan et al. (European Finance Review 2:135---156, 1998) results using log daily returns on S&P 500 Index from January 1992 to September 1994.
Gian Piero Cervellera, Marco Paolo Tucci
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