Search Results - subject:"Variance Gamma model"

Examination of Portfolio Currency Risk Estimation by Means of Lévy Models

Tichý, Tomáš - In: Politická ekonomie 2010 (2010) 4, pp. 504-521

Financial risk modeling, measuring, and managing are an inherent part of management in financial institutions. It is also an important step within the setting of optimal level of capital eligible to cover risk exposures. A significant portion of capital is usually assigned to cover the risk of...

Persistent link: https://www.econbiz.de/10008564635

Conserving capital by adjusting deltas for gamma in the presence of skewness

Madan, Dilip B. - In: Journal of risk and financial management : JRFM 3 (2010) 1, pp. 1-25

An argument for adjusting Black Scholes implied call deltas downwards for a gamma exposure in a left skewed market is presented. It is shown that when the objective for the hedge is the conservation of capital ignoring the gamma for the delta position is expensive. The gamma adjustment factor in...

Persistent link: https://www.econbiz.de/10011555954

Moments structure of l 1-stochastic volatility models

Neto, David; Sardy, Sylvain - 2009

Persistent link: https://www.econbiz.de/10003926961

A new type of barrier options : lizard option

Kawanishi, Yasuhiro - In: Asia-Pacific financial markets 22 (2015) 1, pp. 75-86

Persistent link: https://www.econbiz.de/10010511547

Moments Structure of l1-Stochastic Volatility Models

Neto, David; Sardy, Sylvain - Institut d'Economie et Econométrie, Université de Genève - 2008

We consider Taylor's stochastic volatility model when the innovations of the hidden log-volatility process have a Laplace distribution (l1 exponential density), rather than the standard Gaussian distribution (l2) usually employed. Using a distribution with heavier tails allows better modeling of...

Persistent link: https://www.econbiz.de/10010616292

Examination of selected improvement approaches to Monte Carlo simulation in option pricing

Tichý, Tomáš - In: Politická ekonomie 2008 (2008) 6, pp. 772-794

vanilla call. We consider three distinct underlying processes: geometric Brownian motion, variance gamma model and normal …

Persistent link: https://www.econbiz.de/10008754960

Application of Homotopy Analysis Method to Option Pricing Under Lévy Processes

Sakuma, Takayuki; Yamada, Yuji - In: Asia-Pacific Financial Markets 21 (2014) 1, pp. 1-14

take the variance gamma model as an example and provide the semi-analytic form. Numerical examples demonstrate a fast …

Persistent link: https://www.econbiz.de/10010866368

Application of homotopy analysis method to option pricing under Lévy processes

Sakuma, Takayuki; Yamada, Yuji - In: Asia-Pacific financial markets 21 (2014) 1, pp. 1-14

Persistent link: https://www.econbiz.de/10010358467

Incorporating discontinuities in value-at-risk via the poisson jump diffusion model and variance gamma model

Lee, Brendan Chee-Seng, Banking & Finance, Australian … - 2007

does not contain any continuous component at all in the underlying distribution (Variance Gamma Model).These models have … and the Variance Gamma Model, we introduce the use of an innovationfrom option pricing techniques, which concentrates on …

Persistent link: https://www.econbiz.de/10009484251

Fitting the Variance-Gamma Model: A Goodness-of-Fit Check for Emerging Markets

Göncü, Ahmet; Karahan, Mehmet Oguz; Kuzubas, Tolga Umut - In: Bogazici Journal of Economics and Administrative Sciences 27 (2013) 2

Variance-Gamma model is widely used for option pricing; however there has been little research on empirical performance … of this model for emerging market economies. In this paper, we evaluate the goodness-of-fit of the Variance-Gamma model …-Smirnov goodness-of-fit test statistics, we show that the Variance-Gamma model fits to the dataset well and improves upon the fit of …

Persistent link: https://www.econbiz.de/10010729093