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Non-Gaussian Price Dynamics and Implications for Option Pricing
(2012)
It is well known that the probability distribution of stock returns is non-Gaussian. The tails of the distribution are too “fat,” meaning that extreme price movements, such as stock market crashes, occur more often than ...
The kappa-mu distribution and the eta-mu distribution
(Ieee-inst Electrical Electronics Engineers IncPiscatawayEUA, 2007)
Testing option pricing with the Edgeworth expansion
(Elsevier B.V., 2004-12-15)
There is a well-developed framework, the Black-Scholes theory, for the pricing of contracts based on the future prices of certain assets, called options. This theory assumes that the probability distribution of the returns ...
Testing option pricing with the Edgeworth expansion
(Elsevier B.V., 2004-12-15)
There is a well-developed framework, the Black-Scholes theory, for the pricing of contracts based on the future prices of certain assets, called options. This theory assumes that the probability distribution of the returns ...
Coloring Non-Gaussian Sequences
(Ieee-inst Electrical Electronics Engineers IncPiscatawayEUA, 2008)
Non-Gaussian CMB and LSS statistics beyond polyspectra
(IOP Publishing, 2020)
Cosmic inflation may have led to non-Gaussian initial conditions that cannot be fully parametrised by 3- and/or 4-point functions. In this work, we discuss various strategies to search for primordial non-Gaussianity beyond ...
Testing option pricing with the Edgeworth expansion
(Elsevier B.V., 2014)
Subdifferential characterization of probability functions under Gaussian distribution
(Springer Verlag, 2019)
© 2018, Springer-Verlag GmbH Germany, part of Springer Nature and Mathematical Optimization Society. Probability functions figure prominently in optimization problems of engineering. They may be nonsmooth even if all input ...
Nonlinear Dynamics for the prediction of Statistical Distributions: An Operational Research perspective
(2013)
A semantic connection between nonlinear or linear dynamical systems and statistical Gaussian distributions is developed as a theory. This connection is applied to predict changes in the Gaussian distribution when models ...
Positive and negative linear chirping of Gaussian pulses in non-dispersive dielectric layers
(Elsevier Science, 2020-11)
In this work, the first and second order effects for reflected and transmitted pulses with a Gaussian distribution of frequencies are analytically developed and interpreted. They show some peculiar characteristics that ...