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PRICING OF BARRIER OPTIONS UNDER VARIANCE GAMMA MODEL
The returns of most financial assets do not follow the normal law. One possible way how to model the price evolution is the Variance Gamma model. In this paper we show how to price special type of exotic options - ...
AH - Ekonomie
- 2004 •
- D
Rok uplatnění
D - Stať ve sborníku
A modeling quality comparison of estimated Lévy models
family of models,a variance gamma and a normal inverse Gaussian model. The variance gamma model can be regarded as a subordinated (geometric) Brownian motion driven by a random time with...
AH - Ekonomie
- 2010 •
- D
Rok uplatnění
D - Stať ve sborníku
Model dependency of the digital option replication - replication under incomplete model
with stochastic volatility driven by Hull and White model, (iii) Variance Gamma model modeled astime changed Brownian motion, and (iv) Variance gamma model set in a stochastic <...
AH - Ekonomie
- 2006 •
- Jx
Rok uplatnění
Jx - Nezařazeno - Článek v odborném periodiku (Jimp, Jsc a Jost)
Some results on barrier option prices under variance gamma
on the applicationof variance gamma process allowing to incorporate the effect of non-normal risk. In thispaper we take the variance gamma process as a time change Brownian motion and runDuring last years many res...
AH - Ekonomie
- 2004 •
- D
Rok uplatnění
D - Stať ve sborníku
Modelling of two dimensional portfolio via Gaussian and T-student copula
The paper is devoted to the portfolio modeling with respect to dependence of financial returns. For determination particular returns is used Variance Gamma process that allows us to relax related restrictions (non-zero empi...
AH - Ekonomie
- 2008 •
- D
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D - Stať ve sborníku
Lévy processes and time changed Lévy processes - the efficiency of digital option replication
as a time changed process. In particular, the first case is the Variance Gamma model, the second is the Variance Gamma model driven by a Cox-Ingersoll-Ross time. In this paper in kurtosis. To
AH - Ekonomie
- 2005 •
- D
Rok uplatnění
D - Stať ve sborníku
Basic Ways of Monte Carlo Simulation to Efficient Pricing of European Options
complex underlying processes are considered. In this paper we suppose Variance Gamma variance reduction techniques to increase the efficiency of the plain Monte Carlo......
AH - Ekonomie
- 2005 •
- D
Rok uplatnění
D - Stať ve sborníku
The Influence of the GDP Growth on the Financial Stability of the chosen Czech Banks within Estimated Scoring Model
to the selected multivariate subordinated Variance Gamma process, including capturing on the prediction of Czech banks' financial stability based on a model estimated on a sample of 400 U.S. banks by means of the binary lo...
AH - Ekonomie
- 2011 •
- D
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D - Stať ve sborníku
Analytical derivation of spectral rigidity for thermodynamical traffic gas
form of the desired function is known. The number variance could be approximated by a line Delta(L)= chi L + gamma. Now, the task is to find the expression of two coefficients chi and gamma. After gaining the form of numbe...
BA - Obecná matematika
- 2010 •
- D
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D - Stať ve sborníku
Merton's Model Application: Non-gaussian Assumption
different stochastic processes are used; Geometric Brownian motion and Variance Gamma model isapplied on a real data of selected companies. Two issues are solved of the liabilities for practical utilization of the Merton <...
AH - Ekonomie
- 2015 •
- D •
- Link
Rok uplatnění
D - Stať ve sborníku
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