scholarly journals The Use of Statistical Tests to Calibrate the Black-Scholes Asset Dynamics Model Applied to Pricing Options with Uncertain Volatility

2012 ◽  
Vol 2012 ◽  
pp. 1-20 ◽  
Author(s):  
Lorella Fatone ◽  
Francesca Mariani ◽  
Maria Cristina Recchioni ◽  
Francesco Zirilli
Keyword(s):  
Statistical Tests ◽  
Statistical Significance ◽  
Asset Price ◽  
Real Data ◽  
Dynamics Model ◽  
Stochastic Dynamical Systems ◽  
Pricing Options ◽  
Black Scholes ◽  
Uncertain Volatility ◽  
Two Parameters

A new method for calibrating the Black-Scholes asset price dynamics model is proposed. The data used to test the calibration problem included observations of asset prices over a finite set of (known) equispaced discrete time values. Statistical tests were used to estimate the statistical significance of the two parameters of the Black-Scholes model: the volatility and the drift. The effects of these estimates on the option pricing problem were investigated. In particular, the pricing of an option with uncertain volatility in the Black-Scholes framework was revisited, and a statistical significance was associated with the price intervals determined using the Black-Scholes-Barenblatt equations. Numerical experiments involving synthetic and real data were presented. The real data considered were the daily closing values of the S&P500 index and the associated European call and put option prices in the year 2005. The method proposed here for calibrating the Black-Scholes dynamics model could be extended to other science and engineering models that may be expressed in terms of stochastic dynamical systems.

scholarly journals HEDGING EUROPEAN DERIVATIVES WITH THE POLYNOMIAL VARIANCE SWAP UNDER UNCERTAIN VOLATILITY ENVIRONMENTS

2011 ◽  
Vol 14 (04) ◽  
pp. 485-505 ◽  
Author(s):  
AKIHIKO TAKAHASHI ◽  
YUKIHIRO TSUZUKI ◽  
AKIRA YAMAZAKI
Keyword(s):  
Asset Price ◽  
Minimum Variance ◽  
Test Cases ◽  
Volatility Risk ◽  
Underlying Asset ◽  
Variance Swap ◽  
Black Scholes ◽  
Uncertain Volatility ◽  
Dynamic Trading ◽  
Delta Hedging

This paper proposes a new hedging scheme of European derivatives under uncertain volatility environments, in which a weighted variance swap called the polynomial variance swap is added to the Black-Scholes delta hedging for managing exposure to volatility risk. In general, under these environments one cannot hedge the derivatives completely by using dynamic trading of only an underlying asset owing to volatility risk. Then, for hedging uncertain volatility risk, we design the polynomial variance, which can be dependent on the level of the underlying asset price. It is shown that the polynomial variance swap is not perfect, but more efficient as a hedging tool for the volatility exposure than the standard variance swap. In addition, our hedging scheme has a preferable property that any information on the volatility process of the underlying asset price is unnecessary. To demonstrate robustness of our scheme, we implement Monte Carlo simulation tests with three different settings, and compare the hedging performance of our scheme with that of standard dynamic hedging schemes such as the minimum-variance hedging. As a result, it is found that our scheme outperforms the others in all test cases. Moreover, it is noteworthy that the scheme proposed in this paper continues to be robust against model risks.

scholarly journals Geometric Average Asian Option Pricing with Paying Dividend Yield under Non-Extensive Statistical Mechanics for Time-Varying Model

Entropy ◽  
2018 ◽  
Vol 20 (11) ◽  
pp. 828 ◽  
Author(s):  
Jixia Wang ◽  
Yameng Zhang
Keyword(s):  
Statistical Mechanics ◽  
Option Pricing ◽  
Asset Price ◽  
Closed Form Solution ◽  
Real Data ◽  
Form Solution ◽  
Asian Option ◽  
Time Varying ◽  
Dividend Yield ◽  
Geometric Average

This paper is dedicated to the study of the geometric average Asian call option pricing under non-extensive statistical mechanics for a time-varying coefficient diffusion model. We employed the non-extensive Tsallis entropy distribution, which can describe the leptokurtosis and fat-tail characteristics of returns, to model the motion of the underlying asset price. Considering that economic variables change over time, we allowed the drift and diffusion terms in our model to be time-varying functions. We used the I t o ^ formula, Feynman–Kac formula, and P a d e ´ ansatz to obtain a closed-form solution of geometric average Asian option pricing with a paying dividend yield for a time-varying model. Moreover, the simulation study shows that the results obtained by our method fit the simulation data better than that of Zhao et al. From the analysis of real data, we identify the best value for q which can fit the real stock data, and the result shows that investors underestimate the risk using the Black–Scholes model compared to our model.

scholarly journals A New Extension of Thinning-Based Integer-Valued Autoregressive Models for Count Data

Entropy ◽  
2020 ◽  
Vol 23 (1) ◽  
pp. 62
Author(s):  
Zhengwei Liu ◽  
Fukang Zhu
Keyword(s):  
Likelihood Estimation ◽  
Real Data ◽  
Autoregressive Models ◽  
Superior Performance ◽  
Data Sets ◽  
Binomial Thinning ◽  
Free Case ◽  
Two Parameters ◽  
Conditional Maximum ◽  
Thinning Operator

The thinning operators play an important role in the analysis of integer-valued autoregressive models, and the most widely used is the binomial thinning. Inspired by the theory about extended Pascal triangles, a new thinning operator named extended binomial is introduced, which is a general case of the binomial thinning. Compared to the binomial thinning operator, the extended binomial thinning operator has two parameters and is more flexible in modeling. Based on the proposed operator, a new integer-valued autoregressive model is introduced, which can accurately and flexibly capture the dispersed features of counting time series. Two-step conditional least squares (CLS) estimation is investigated for the innovation-free case and the conditional maximum likelihood estimation is also discussed. We have also obtained the asymptotic property of the two-step CLS estimator. Finally, three overdispersed or underdispersed real data sets are considered to illustrate a superior performance of the proposed model.

scholarly journals The Censored Beta-Skew Alpha-Power Distribution

Symmetry ◽  
2021 ◽  
Vol 13 (7) ◽  
pp. 1114
Author(s):  
Guillermo Martínez-Flórez ◽  
Roger Tovar-Falón ◽  
María Martínez-Guerra
Keyword(s):  
Power Distribution ◽  
Information Matrix ◽  
Real Data ◽  
Likelihood Method ◽  
Data Sets ◽  
Alpha Power ◽  
Score Functions ◽  
New Family ◽  
Two Parameters ◽  
Family Of Distributions

This paper introduces a new family of distributions for modelling censored multimodal data. The model extends the widely known tobit model by introducing two parameters that control the shape and the asymmetry of the distribution. Basic properties of this new family of distributions are studied in detail and a model for censored positive data is also studied. The problem of estimating parameters is addressed by considering the maximum likelihood method. The score functions and the elements of the observed information matrix are given. Finally, three applications to real data sets are reported to illustrate the developed methodology.

scholarly journals Methods for the Quantification of Resistance of Apple Genotypes to European Fruit Tree Canker Caused by Neonectria ditissima

Plant Disease ◽  
2017 ◽  
Vol 101 (12) ◽  
pp. 2012-2019 ◽  
Author(s):  
M. Wenneker ◽  
P. W. Goedhart ◽  
P. van der Steeg ◽  
W. E. van de Weg ◽  
H. J. Schouten
Keyword(s):  
Statistical Significance ◽  
Lesion Size ◽  
Fruit Tree ◽  
Infection Frequency ◽  
Pome Fruit ◽  
Start Date ◽  
Apple Cultivars ◽  
Lesion Growth ◽  
Two Parameters ◽  
Parallel Tests

European fruit tree canker, caused by Neonectria ditissima, is an important disease of pome fruit worldwide. Apple cultivars differ in their levels of susceptibility to N. ditissima. In order to design an effective plant resistance test, we examined the effectiveness of two resistance parameters: infection frequency and lesion growth. Both parameters were evaluated in parallel tests using 10 apple cultivars in three experimental years, applying seminatural infection of leaf scars (infection frequency) or inoculation of artificial wounds (lesion growth). We compared six parameters for lesion growth, of which a new parameter, lesion growth rate (LGR), appeared to be the best with respect to reproducibility and statistical significance. LGR is defined as the slope of the regression of lesion size versus time. The slope was estimated for each lesion, employing a common start date and a lesion-specific end date determined by the girdling of the lesion. The two parameters (infection frequency and LGR) were examined in separate experiments and in three successive years, and provided complementary information and resulted in reproducible conclusions on the relative resistance levels to N. ditissima of the tested cultivars. The presented methods can be used to develop strategies for the control of European fruit tree canker (e.g., in the breeding of new apple cultivars with high levels of resistance to N. ditissima).

scholarly journals Use of a Simple Anthropometric Measurement to Identify Low-Birth-Weight Infants in Enugu, Nigeria

2018 ◽  
Vol 5 ◽  
pp. 2333794X1878817
Author(s):  
Ndubuisi Kennedy Chukwudi ◽  
Huldah Ijeoma Nwokeukwu ◽  
Gilbert Nwadiakanma Adimorah
Keyword(s):  
Birth Weight ◽  
Low Birth Weight ◽  
Statistical Tests ◽  
Statistical Significance ◽  
Linear Regression Analysis ◽  
Cutoff Point ◽  
Chest Circumference ◽  
Anthropometric Measurement ◽  
Suitable Alternative ◽  
Study Population

Background. This prospective study was conducted to identify a suitable alternative to birth weight and establish its cutoff point to facilitate the identification of low-birth-weight (LBW) infants in Enugu, Southeast Nigeria. Methods. The study involved newborn babies within the first 48 hours of life. Five anthropometric measurements (head, chest, mid-arm and calf circumferences, as well as abdominal girth) were taken using a tape measure while supine length was measured with an aluminum infantometer. Birth weight was also recorded. Linear regression analysis was done to identify the measurement with the highest coefficient of determination with birth weight while its cutoff point was defined using a receiver operating characteristic curve. Standard statistical tests were used to determine the statistical significance of the findings. Results. The LBW prevalence for the study population was 21.41%. Chest circumference had the highest R2 value of 0.83 for the general study population and 0.72 for the LBW infants. The identified cutoff point for chest circumference is ⩽30 cm. Conclusion. Chest circumference is the best alternative to birth weight in identifying LBW babies within the first 48 hours of life in this environment.

scholarly journals Clowns Benefit Children Hospitalized for Respiratory Pathologies

2011 ◽  
Vol 2011 ◽  
pp. 1-9 ◽  
Author(s):  
Mario Bertini ◽  
Elena Isola ◽  
Giuseppe Paolone ◽  
Giuseppe Curcio
Keyword(s):  
Statistical Significance ◽  
Systolic Pressure ◽  
Therapeutic Modality ◽  
Control Group ◽  
Self Evaluation ◽  
Positive Effects ◽  
Before And After ◽  
Two Parameters ◽  
Therapeutic Settings ◽  
Experimental Group

The study aims at evaluating health-generating function of humor therapy in a hospital ward hosting children suffering from respiratory pathologies. The main scope of this study is to investigate possible positive effects of the presence of a clown on both the clinical evolution of the on-going disease, and on some physiological and pain parameters. Forty-three children with respiratory pathologies participated in the study: 21 of them belonged to the experimental group (EG) and 22 children to the control group (CG). During their hospitalization, the children of the EG interacted with two clowns who were experienced in the field of pediatric intervention. All participants were evaluated with respect to clinical progress and to a series of physiological and pain measures both before and after the clown interaction. When compared with the CG, EG children showed an earlier disappearance of the pathological symptoms. Moreover, the interaction of the clown with the children led to a statistically significant lowering of diastolic blood pressure, respiratory frequency and temperature in the EG as compared with the control group. The other two parameters of systolic pressure and heart frequency yielded results in the same direction, without reaching statistical significance. A similar health-inducing effect of clown presence was observed on pain parameters, both by self evaluation and assessment by nurses. Taken together, our data indicate that the presence of clowns in the ward has a possible health-inducing effect. Thus, humor can be seen as an easy-to-use, inexpensive and natural therapeutic modality to be used within different therapeutic settings.

Customer experience management in medical tourism (case study: Iranian hospital’s medical tourists)

2021 ◽  
Vol 13 (1) ◽  
pp. 198-226
Author(s):  
Hamed Dabaghi ◽  
Saeid Saieda Ardakani ◽  
Seyed Mohammad Tabataba’i-Nasab
Keyword(s):  
Medical Tourism ◽  
Statistical Tests ◽  
Statistical Significance ◽  
Data Gathering ◽  
Customer Experience ◽  
Research Literature ◽  
Content Type ◽  
Research Areas ◽  
Customer Experience Management ◽  
Data Saturation

Purpose The purpose of this paper is to focus on the emerging phenomenon of medical tourism in the context of Iran from a customer experience management perspective and benchmark of their judgment including positive or negative, of the experience they have achieved of the Iranian health (medical) experience (CE) and suggest scenarios for the improvement of the Iranian customer experience management (CEM). Design/methodology/approach The research methodologies and research methods that are used in this descriptive-analytical research are based on an inspection of the remarkable literature related to medical tourism and customer experience management. The data gathering instrument is a researcher-made questionnaire based on the variables in the conceptual model extracted from the research literature. The study was conducted from May to August 2019. The population cohort of this study was the foreign patients calling selected Iranian hospitals and the sampling method was a purposive and snowball sample of prospective medical tourists. As the study was conducted throughout Iran, some important hospitals in Iran were selected by stratified sampling Yang et al. (2020b). The sample size and data saturation were 500 participants Lv and Song (2019). The collected data using the questionnaire were analyzed by SPSS software and statistical tests. Findings According to the results, the customer experience management statistical significance in the task aspect is (p = 0.0523), in the mechanical aspect is (p = 0.0563), in the human aspect is (p = 0.0544). The study showed positive customer experience among the patients who had been treated in the Iranian hospitals. Originality/value There is a lack of study that focuses on medical tourism and customer experience management in Iran. Therefore, based on the results of this study, the experience of medical tourists in Iran proved to be positive and satisfying. As little research has been conducted in the area of customer experience management (CEM) in Iranian medical tourism, future researchers can use these valuable results precisely and in more detail to benchmark more accurately the customer experience in all areas of medical and health tourism and other research areas in different aspects of CEM in Iran.

Prediction of Bubbles, Crashes, and Antibubbles

2017 ◽  
Author(s):  
Didier Sornette
Keyword(s):  
Stock Market ◽  
Case Studies ◽  
Power Law ◽  
Statistical Tests ◽  
Statistical Significance ◽  
Large Market ◽  
Simple Power ◽  
Market Crashes ◽  
Successes And Failures

This chapter examines how to predict stock market crashes and other large market events as well as the limitations of forecasting, in particular in terms of the horizon of visibility and expected precision. Several case studies are presented in detail, with a careful count of successes and failures. After providing an overview of the nature of predictions, the chapter explains how to develop and interpret statistical tests of log-periodicity. It then considers the concept of an “antibubble,” using as an example the Japanese collapse from the beginning of 1990 to the present. It also describes the first guidelines for prediction, a hierarchy of prediction schemes that includes the simple power law, and the statistical significance of the forward predictions.

Application of Parametric Cost Estimation Model to Telecommunication Networks

2011 ◽  
pp. 150-167
Author(s):  
Swadesh Kumar Samanta ◽  
John Woods ◽  
Mohammed Ghanbari
Keyword(s):  
Cost Estimation ◽  
Research Effort ◽  
Real Data ◽  
Telecommunication Networks ◽  
Estimation Model ◽  
Parametric Cost Estimation ◽  
Cost Estimation Model ◽  
Two Parameters ◽  
The Cost ◽  
Telecom Network

The parametric cost estimation approach has proved to be an efficient method for analyzing complex systems such as spacecraft, missiles, ships, buildings, etc where cost varies according to a number of parameters. The cost to provision a telecom network also depends on a number of parameters; but little research effort has been applied to estimate cost using this approach. In estimating the cost of a telecom network, most published research has considered two parameters; distance and bandwidth of a link and ignored the effects of other parameters. We have modelled the cost based on distance, bandwidth, geographical terrain and technology simultaneously using a parametric cost estimation methodology applied to real data obtained from the Indian Telecom Company, BSNL. Using the model, we show how a cost optimized network can be designed given the real world constraints. The applicability of our model to determine revenue sharing mechanism for an international call is also demonstrated. [Article copies are available for purchase from InfoSci-on-Demand.com]

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