Results 231 to 240 of about 91,741 (276)

Parametric Bayesian modelling of tuberculosis mortality determinants and facility level heterogeneity effect using Gamma and Gaussian shared frailty techniques. [PDF]

BMC Infect Dis
Tamuzi JL, Fwemba I, Ngah VD, Rangoanana M, Maama L, Maphalale S, Molete M, Ratikoane R, Ogunrombi M, Daramola O, Dounebaine B, Abbas SA, Nyasulu PS.   +12 more
europepmc   +1 more source

Meta-analysis reveals widespread negative associations between species richness and ecological uniqueness. [PDF]

Nat Commun
Chen Y, Soininen J, Myers JA, Mao Z, Yu J, Wang X.   +5 more
europepmc   +1 more source

Generating geochemical and mineralogy distributions of soil in the conterminous United States using Bayesian hierarchical spatial models. [PDF]

MethodsX
Bondo KJ, Wolf TM, Walter WD.
europepmc   +1 more source

Endophytic fungi-assisted biological synthesis of zinc oxide nanoparticles using gamma-rays for promising antibacterial and antibiofilm potential against some gram-positive bacteria. [PDF]

Microb Cell Fact
Abdel-Fatah SS, Mohammad NH, El-Sayyad GS.   +2 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

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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 ...
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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
openaire   +1 more source