Study Asian option pricing in NIG and VG Levy markets.
problem Value of Asian options in incomplete Levy markets.
method Two methods of constructing risk-neutral measures.
result Both methods generally produce similar prices.
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16 results for “VG”
The paper analyzes a five-parameter Variance-Gamma model for European option pricing.
problem Developing a stochastic volatility model for accurate European option pricing.
method Introduced a five-parameter Variance-Gamma model and applied it to empirical data.
result The five-parameter VG model produces underpriced OTM and overpriced ITM options compared to the Black-Scholes model.
Study analyzes crude oil futures markets using visibility graphs to understand their structure and dynamics.
problem Understanding the structure and dynamics of crude oil futures markets during global challenges.
method Visibility graph analysis of daily and high-frequency data.
result Crude oil futures markets exhibit small-world properties and assortative mixing, with unique sensitivities to global disruptions.
Pricing options with VG model using FFTphysics.soc-ph
We discuss various analytic and numerical methods that have been used to get option prices within a framework of the VG model. We show that some popular methods, for instance, Carr-Madan's FFT method could blow up for certain values of the model parameters even for an European vanilla option. Alternative methods - one …
Study evaluates hedging strategies for S&P500 index options.
problem Improving returns and risk management in index option portfolios.
method Compared Black-Scholes-Merton and Variance-Gamma models for hedging strategies.
result Systematic option-writing strategies can yield superior returns compared to buy-and-hold benchmarks.
Classifies algebraic concordance for almost classical knots.
problem Classifying algebraic concordance for almost classical knots.
method Defined virtual algebraic concordance group for almost classical knots.
result Embeds into and contains non-classical finite-order elements.
Given a virtual knot , we construct a group called the virtual knot group, and we use the elementary ideals of to define invariants of called the virtual Alexander invariants. For instance, associated to the ideal is a polynomial in three variables which we call the virtual Alexa…
This paper extends subordinated models to include stochastic time changes, improving financial modeling.
problem Improving financial models to better capture market features like jump clustering and volatility persistence.
method Subordinated processes with Levy and stochastic arrival mechanisms.
result Strong consistency and asymptotic normality results for VG and VGSA processes under various stochastic arrival models.
Study compares L1 and VG sparsity priors in inverse problems.
problem Sparse regularization in inverse problems with incomplete or corrupted measurements.
method Compared L1 regularization with Variational Garrote (VG), a probabilistic method approximating L0 sparsity.
result VG often achieves lower minimum generalization error and improved stability in strongly underdetermined regimes.
Latent Gaussian models (LGMs) are widely used in statistics and machine learning. Bayesian inference in non-conjugate LGMs is difficult due to intractable integrals involving the Gaussian prior and non-conjugate likelihoods. Algorithms based on variational Gaussian (VG) approximations are widely employed since they str…
A framework for faster, better infographic design by non-experts and experts alike.
problem Designing infographics is time-consuming and tedious for non-experts and even professionals.
method Semi-automated infographic framework for structured and flow-based designs, including automatic design ranking and customization options.
result Designers from all expertise levels can generate generic infographic designs faster than existing methods while maintaining quality.
In this paper we propose a transform method to compute the prices and greeks of barrier options driven by a class of Levy processes. We derive analytical expressions for the Laplace transforms in time of the prices and sensitivities of single barrier options in an exponential Levy model with hyper-exponential jumps. In…
The study explores mixed Killing vector fields on almost coKähler manifolds.
problem Characterizing mixed Killing vector fields on almost coKähler manifolds.
method Generalized Bochner's theorem for mixed Killing vector fields and studied in the context of almost coKähler structures.
result The Reeb vector field on an almost coKähler manifold is mixed Killing if and only if the operator .
New model improves equity derivative pricing accuracy.
problem Inaccurate pricing of equity derivatives.
method Introduces Additive Normal Tempered Stable process.
result Calibration yields better results than existing methods.
In this paper, we investigate the fixed-point set of an element of a CAT(0) group in its boundary. Suppose that a group acts geometrically on a CAT(0) space . Let and let be the fixed-point set of in the boundary . Then we show that , where is …
We consider structural credit modeling in the important special case where the log-leverage ratio of the firm is a time-changed Brownian motion (TCBM) with the time-change taken to be an independent increasing process. Following the approach of Black and Cox, one defines the time of default to be the first passage time…