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Wiener-Hopf factorization and distribution of extrema for a family of Lévy processes
Wiener-Hopf factorization distribution extrema
2010/11/12
In this paper we introduce a ten-parameter family of L\'{e}vy processes for which we obtain Wiener-Hopf factors and distribution of the supremum process in semi-explicit form. This family allows an a...
Student's t-Distribution Based Option Sensitivities: Greeks for the Gosset Formulae
optionpricing Student's t fattails
2010/4/27
European options can be priced when returns follow a Student's t-distribution, provided that the asset is capped in value or the distribution is truncated. We call pricing of options using a log Stude...
A New Approximation to the Normal Distribution Quantile Function
Normal Distribution Quantile Function primary benefit
2010/4/27
We present a new approximation to the normal distribution quantile function. It has a similar form to the approximation of Beasley and Springer [3], providing a maximum absolute error of less than $2....