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Description
  • V průběhu několika posledních let bylo publikováno vícero prací zaměřených na užití procesů s nekonečnou intenzitou skoků - tzv. Lévyho procesů - při modelování výnosů a ceny finančních aktiv. Velkého pozornost je věnována zejména Variance gama procesu, tedy procesu, který umožňuje při modelování výnosů zohlednit rovněž šikmost a špičatost. V tomto článku je VG proces modelován jako (geometrický) Brownův pohyb v tzv. gama čase. Proces je studován v souvislosti s oceněním diskrétních bariérových opcí. Rovněž je prezentováno určité srovnání s Black-Scholesovým modelem. (cs)
  • During last years many researchers look carefully on the use of infinite activity pure jump Lévy processes as the tool to model the dynamics of the asset price - the asset that underlies the financial option. Many authors have focused on the application of variance gamma process allowing to incorporate the effect of non-normal risk-neutral distribution characteristics (skewness, kurtosis). Recently there were also provided formulas or special numerical techniques to price some types of options. In this paper we take the variance gamma process as a time change Brownian motion and run random paths of the underlying asset to price some types of (discrete) barrier options. We also present benefits and/or differences in comparison to standard Black Scholes model.
  • During last years many researchers look carefully on the use of infinite activity pure jump Lévy processes as the tool to model the dynamics of the asset price - the asset that underlies the financial option. Many authors have focused on the application of variance gamma process allowing to incorporate the effect of non-normal risk-neutral distribution characteristics (skewness, kurtosis). Recently there were also provided formulas or special numerical techniques to price some types of options. In this paper we take the variance gamma process as a time change Brownian motion and run random paths of the underlying asset to price some types of (discrete) barrier options. We also present benefits and/or differences in comparison to standard Black Scholes model. (en)
Title
  • Some results on barrier option prices under variance gamma
  • Some results on barrier option prices under variance gamma (en)
  • Některé důsledky ocenění bariérových opcí při VG procesu (cs)
skos:prefLabel
  • Some results on barrier option prices under variance gamma
  • Some results on barrier option prices under variance gamma (en)
  • Některé důsledky ocenění bariérových opcí při VG procesu (cs)
skos:notation
  • RIV/61989100:27510/04:00009804!RIV/2005/GA0/275105/N
http://linked.open.../vavai/riv/strany
  • www.inria.fr/omega,w
http://linked.open...avai/riv/aktivita
http://linked.open...avai/riv/aktivity
  • P(GA402/04/1357), Z(MSM 275100015)
http://linked.open...vai/riv/dodaniDat
http://linked.open...aciTvurceVysledku
http://linked.open.../riv/druhVysledku
http://linked.open...iv/duvernostUdaju
http://linked.open...titaPredkladatele
http://linked.open...dnocenehoVysledku
  • 587038
http://linked.open...ai/riv/idVysledku
  • RIV/61989100:27510/04:00009804
http://linked.open...riv/jazykVysledku
http://linked.open.../riv/klicovaSlova
  • Lévy process;variance gamma process;barrier options;pricing via simulation (en)
http://linked.open.../riv/klicoveSlovo
http://linked.open...ontrolniKodProRIV
  • [7BFBF1266970]
http://linked.open...v/mistoKonaniAkce
  • Juan-les-Pins, France
http://linked.open...i/riv/mistoVydani
  • Sophia Antipolis
http://linked.open...i/riv/nazevZdroje
  • Sixth International Conference MCQMC on Monte Carlo and Quasi-Monte Carlo Methods in Scientific Computing; Second International Conference on Monte Carlo and Probabilistic Methods for Partial Differen
http://linked.open...in/vavai/riv/obor
http://linked.open...ichTvurcuVysledku
http://linked.open...cetTvurcuVysledku
http://linked.open...vavai/riv/projekt
http://linked.open...UplatneniVysledku
http://linked.open...iv/tvurceVysledku
  • Tichý, Tomáš
http://linked.open...vavai/riv/typAkce
http://linked.open.../riv/zahajeniAkce
http://linked.open...n/vavai/riv/zamer
number of pages
http://purl.org/ne...btex#hasPublisher
  • INRIA, Sophia Antipolis,
http://localhost/t...ganizacniJednotka
  • 27510
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