Search Results - subject:"Characteristic function"

Krichene, Noureddine - International Monetary Fund (IMF) - 2006

Crude oil prices have been on a run-up spree in recent years. Their dynamics were characterized by high volatility, high intensity jumps, and strong upward drift, indicating that oil markets were constantly out-of-equilibrium. An explanation of the oil price process in terms of the underlying...

Persistent link: https://www.econbiz.de/10005826574

Why the Rotation Count Algorithm works

Lord, Roger; Kahl, Christian - Tinbergen Institute - 2006

principal branch, as is done in most software packages, the characteristic function can become discontinuous, leading to … logarithm. Under the same restrictions we prove that in an alternative formulation of the characteristic function the principal … show that Matytsin’s SVJJ model has a closed-form characteristic function, though the complex discontinuities that arise …

Persistent link: https://www.econbiz.de/10005137076

Optimal Fourier Inversion in Semi-analytical Option Pricing

Lord, Roger; Kahl, Christian - Tinbergen Institute - 2006

calculation of plain vanilla option prices in models with an analytically available characteristic function. Shifting the contour … explosion of the characteristic function. This allows for robust and fast option pricing for almost all levels of strikes and …

Persistent link: https://www.econbiz.de/10005209502

Optimal Fourier Inversion in Semi-analytical Option Pricing

Lord, Roger; Kahl, Christian - Tinbergen Instituut - 2006

Persistent link: https://www.econbiz.de/10011256210

Why the rotation count algorithm works

Lord, Roger; Kahl, Christian - 2006 - This version: July 17th, 2006

Persistent link: https://www.econbiz.de/10011349189

Acceptance Sampling Plans Under Truncated Life Tests Assuming a Half Exponential Power Life Distribution

Wenhao, Gui - In: Economic Quality Control 28 (2013) 2, pp. 12-12

lifetime. The operating characteristic function of the sampling plans and the associated producer's risks are derived and also …

Persistent link: https://www.econbiz.de/10010761915

Characteristic Function-Based Testing for Multifactor Continuous-Time Markov Models via Nonparametri

Chen, Bin; Hong, Yongmiao - 2013

the conditional characteristic function, which often has a convenient closed-form or can be approximated accurately for …

Persistent link: https://www.econbiz.de/10010892076

Testing for the Markov Property in Time Series

Chen, Bin; Hong, Yongmiao - 2013

modelling. We develop a test for the Markov property using the conditional characteristic function embedded in a frequency …

Persistent link: https://www.econbiz.de/10010892106

Distributions of the maximum likelihood and minimum contrast estimators associated with the fractional Ornstein–Uhlenbeck process

Tanaka, Katsuto - In: Statistical Inference for Stochastic Processes 16 (2013) 3, pp. 173-192

We discuss some inference problems associated with the fractional Ornstein–Uhlenbeck (fO–U) process driven by the fractional Brownian motion (fBm). In particular, we are concerned with the estimation of the drift parameter, assuming that the Hurst parameter <InlineEquation ID="IEq1"> <EquationSource Format="TEX">$$H$$</EquationSource> <EquationSource Format="MATHML"> <math xmlns:xlink="http://www.w3.org/1999/xlink"> <mi>H</mi> </math> </EquationSource> </InlineEquation> is known and is in <InlineEquation ID="IEq2"> <EquationSource...</equationsource></inlineequation></equationsource></equationsource></inlineequation>

Persistent link: https://www.econbiz.de/10010992898

Generalized Ornstein–Uhlenbeck process by Doob’s theorem and the time evolution of financial prices

Fonseca, Regina C.B. da; Figueiredo, Annibal; Castro, … - In: Physica A: Statistical Mechanics and its Applications 392 (2013) 7, pp. 1671-1680

the characteristic function formalism and compared with empirical stock market data, which are notorious for the non …

Persistent link: https://www.econbiz.de/10011057175