Zobrazeno 1 - 10
of 59
pro vyhledávání: '"shifted lognormal model"'
Autor:
Michael Kamal
Publikováno v:
SSRN Electronic Journal.
The standard shifted lognormal model, defined by just two parameters, provides a remarkably good fit to the market implied volatilities of VIX options. Inspired by an analytic approximation derived by Lee and Wang, we propose a simple, intuitive exte
Externí odkaz:
https://explore.openaire.eu/search/publication?articleId=doi_________::c1b64041efd0423dcd5054baaa9353a9
https://doi.org/10.2139/ssrn.3403126
https://doi.org/10.2139/ssrn.3403126
Autor:
Frido Rolloos
Publikováno v:
SSRN Electronic Journal.
Externí odkaz:
https://explore.openaire.eu/search/publication?articleId=doi_________::82ea9221643e75af182a41886d3baad8
https://doi.org/10.2139/ssrn.3486194
https://doi.org/10.2139/ssrn.3486194
Kniha
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Autor:
Jelić, Magdalena
U ovom radu promatrali smo modele lokalne volatilnosti. Nakon početnog uvođenja potrebnih preliminarija, proučili smo Dupireovu formulu, Derman-Kani formulu te lokalnu volatilnost kao funkciju Black-Scholesove podrazumijevane volatilnosti i opisal
Externí odkaz:
https://explore.openaire.eu/search/publication?articleId=od______3908::4da6163ca9bb6fca79ddc9c3322b126f
https://repozitorij.pmf.unizg.hr/islandora/object/pmf:11178
https://repozitorij.pmf.unizg.hr/islandora/object/pmf:11178
Autor:
Faulkenberry, Thomas J.1 faulkenberry@tarleton.edu
Publikováno v:
Advances in Methodology & Statistics / Metodološki Zvezki. 2022, Vol. 19 Issue 1, p45-59. 15p.
Autor:
Wildman, Andrew1 (AUTHOR), Ramsey, Richard2 (AUTHOR) richard.ramsey@hest.ethz.ch
Publikováno v:
Visual Cognition. Jun2023, Vol. 31 Issue 5, p341-362. 22p.
Autor:
Faulkenberry, Thomas J.
To investigate the structure of individual differences in performance on behavioral tasks, Haaf and Rouder (2017) developed a class of hierarchical Bayesian mixed models with varying levels of constraint on the individual effects. The models are then
Externí odkaz:
http://arxiv.org/abs/2112.05503
Publikováno v:
Quarterly Journal of Experimental Psychology; May2023, Vol. 76 Issue 5, p1026-1044, 19p
Autor:
Kucina, Talira, Wells, Lindsay, Lewis, Ian, de Salas, Kristy, Kohl, Amelia, Palmer, Matthew A., Sauer, James D., Matzke, Dora, Aidman, Eugene, Heathcote, Andrew
Publikováno v:
Nature Communications; 4/19/2023, Vol. 14 Issue 1, p1-14, 14p