Variance Gamma
Efficient pricing of ratchet equity-indexed annuities in a variance-gamma economy
... The aim of this contribution is to discuss efficient numerical methods for the market consistent pricing of ratchet equity-indexed annuities (EIAs) in a Variance-Gamma (VG) economy. The payoff structure of ...
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Efficient pricing of barrier options with the variance gamma model
... WITH VARIANCE GAMMA Under the variance gamma model, the asset log-return dy- namics are characterized by a continuous-time stochas- tic process obtained as a subordinate to Brownian mo- tion, ...
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Option Pricing Under the Variance Gamma Process
... variance gamma on the pricing of the Hang Seng Index call options, which are European style ...the variance gamma option pricing model performs someway better than the Black and Scholes ...the ...
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Outperforming the naïve Random Walk forecast of foreign exchange daily closing prices using Variance Gamma and normal inverse Gaussian Levy processes
... Abstract. This work demonstrates that forecast of foreign exchange (FX) daily clos- ing prices using the normal inverse Gaussian (NIG) and Variance Gamma (VG) Levy processes outperform the naïve Random Walk ...
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Valuation of European and American Options under Variance Gamma Process
... Geometric Brownian Motion (GBM) is widely used to model the asset price dynamics. Option price models such as the Black-Sholes and the binomial tree models rely on the assumption that the underlying asset price dynamics ...
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Dirichlet Bridge Sampling for the Variance Gamma Process: Pricing Path-Dependent Options.
... a Variance Gamma process, which requires generation of uniform variates ...the gamma bridge ...the gamma bridge, generalizes to a Dirichlet distribution of the increments at all time partition ...
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Revisiting variance gamma pricing : an application to S&P500 index options
... used to value options using an illustrative example of a Variance-Gamma process. Using this derivation we have also been able to offer a correct solution to the mis-specification in the Lévy measure for the ...
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Applying Variance Gamma Correlated to Estimate Optimal Portfolio of Variance Swap
... of Variance Swap, however, his method to deal with the realized variance is based on the Fully Gaussian Copula (FGC), proposed by Malevergne and Sornette (2003); while we apply an- other non-Gaussian model: ...
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Efficient simulation of gamma and variance gamma processes
... the gamma process and the variance gamma process, recursively halfing the sampling horizon, conditional on pre- viously generated values of the ...of gamma-process paths is straightforward, a ...
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Measure distorted arrival rate risks and their rewards
... A Markov pure jump model is formulated for the motion by making the parameters of the variance gamma L´evy measure deterministic functions of the level of prices. Estimation is conducted by employing a ...
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Pricing European and Discretely Monitored Exotic Options under the Lévy Process Framework »
... the variance gamma model, we show how to price European options and demonstrate the application of the recursive quadrature method to Bermudan and discrete barrier ...
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Assessing The Relative Performance Of Heavy-Tailed Distributions: Empirical Evidence From The Johannesburg Stock Exchange
... In particular, we provide the probability density functions for hyperbolic, normal-inverse Gaussian, variance-gamma, generalized hyperbolic skew t , generalized extreme value, ge[r] ...
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Lévy processes induced by Dirichlet (B-) splines: modelling multivariate asset price dynamics
... known variance-gamma (VG) process, introduced by Madan and Seneta (1990), and the Bilateral Gamma (BG) process, recently considered by K¨ uchler and Tappe (2008) are special cases of an LG ...
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Weak Subordination of Multivariate Lévy Processes
... weak variance- alpha-gamma processes, including moment ...independent variance-gamma ...weak variance-alpha-gamma processes to discretely observed ...
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Bounds for triple gamma functions and their ratios
... 4. Barnes, EW: The genesis of the double gamma functions. Proc. Lond. Math. Soc. S1-31(1), 358-381 (1900) 5. Barnes, EW: The theory of the double gamma function. Philos. Trans. R. Soc. Lond. Ser. A 196, ...
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On generalized variance of normal Poisson model and Poisson variance estimation under Gaussianity
... Using the standardized generalized variance estimation in (10) we assume that the Poisson component is unobservable and we want to estimate ̂ based on observations of normal components. In this simulation, we ...
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The Variance Profile
... the variance profile as a tool for characterising a stationary stochastic ...The variance profile is defined as the power mean, or H¨older mean, of the spectral density function of the ...the ...
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Some aspects of covariance regularisation in discriminant analysis : a thesis presented in fulfilment of the requirements for the degree of Doctor of Philosophy in Statistics at Massey University, New Zealand
... Reasons for the (usually, consistent) estimators of the covariance matrices be ing poor are mainly to do with the quality and/or size of the training sample in relation to the number of parameters which have to be ...
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AN APPROXIMATION OF THE MINIMUM-VARIANCE ESTIMATOR OF HERITABILITY BASED ON VARIANCE COMPONENT ANALYSIS
... was the estimate of heritability significantly different from expectation for the parameter set with lowest heritability and population size. Constraining the estimates [r] ...
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Comparative Study of Clustering Algorithms: Filtered Clustering and K-Means Cluttering Algorithm Using WEKA
... The relevance of a dimension is computed by computing local variance (variance within the cluster) and global variance (variance in the whole data set). The index value[r] ...
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