Search Results - subject:"Characteristic function"

Vulnerable options under a Hawkes jump-diffusion model with two-factor stochastic volatility

Pasricha, Puneet; He, Xin-Jiang - In: International review of financial analysis 111 (2026), pp. 1-22

Persistent link: https://www.econbiz.de/10015647422

On the (im-)possibility of representing probability distributions as a difference of i.i.d. noise terms

Ewerhart, Christian; Serena, Marco - 2023

A random variable is difference-form decomposable (DFD) if it may be written as the difference of two i.i.d. random terms. We show that densities of such variables exhibit a remarkable degree of structure. Specifically, a DFD density can be neither approximately uniform, nor quasiconvex, nor...

Persistent link: https://www.econbiz.de/10014417649

On the (im-)possibility of representing probability distributions as a difference of i.i.d. noise terms

Ewerhart, Christian; Serena, Marco - 2023

Persistent link: https://www.econbiz.de/10014278201

On the (im-)possibility of representing probability distributions as a difference of i.i.d. noise terms

Ewerhart, Christian; Serena, Marco - In: Mathematics of operations research 50 (2025) 1, pp. 390-409

Persistent link: https://www.econbiz.de/10015211712

Valuing options with hybrid default risk under the stochastic volatility model

Yun, Ana; Kim, Geonwoo - In: Finance research letters 72 (2025), pp. 1-11

Persistent link: https://www.econbiz.de/10015207074

Designing an enhanced acceptance sampling strategy with the process loss index

Darmawan, Armin; Wu, Chien-wei - In: European journal of industrial engineering : EJIE 20 (2025) 2, pp. 157-182

Persistent link: https://www.econbiz.de/10015447512

Non-cooperative representations of cooperative games

Chan, Justin - In: Games 16 (2025) 4, pp. 1-14

) games can be represented under Nash equilibrium (NE) and rationalizability; that all weakly superadditive characteristic … function form (CFF) games can be represented under NE; and that all weakly superadditive PFF games can be represented under …

Persistent link: https://www.econbiz.de/10015475283

Computing the SSR

Friz, Peter K.; Gatheral, Jim - In: Quantitative finance 25 (2025) 5, pp. 701-710

Persistent link: https://www.econbiz.de/10015534136

Estimating Option Pricing Models Using a Characteristic Function Based Linear State Space Representation

Boswijk, H. Peter; Laeven, Roger J. A.; Vladimirov, Evgenii - 2022

conditional log-characteristic function and the model-implied conditional log-characteristic function, which is functionally …

Persistent link: https://www.econbiz.de/10014321750

An entropy-based approach for nonparametrically testing simple probability distribution hypotheses

Mittelhammer, Ron C.; Judge, George G.; Henry, Miguel - In: Econometrics : open access journal 10 (2022) 1, pp. 1-19

methodology relies on the characteristic function of the population probability distribution being tested and is attractive in …

Persistent link: https://www.econbiz.de/10012805047