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Maximum entropy estimates for riskneutral probability measures with nonstrictlyconvex data,” preprint
, 2011
"... Abstract This article investigates use of the Principle of Maximum Entropy for approximation of the riskneutral probability density on the price of a financial asset as inferred from market prices on associated options. The usual strict convexity assumption on the marketprice to strikeprice func ..."
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Abstract This article investigates use of the Principle of Maximum Entropy for approximation of the riskneutral probability density on the price of a financial asset as inferred from market prices on associated options. The usual strict convexity assumption on the marketprice to strike
1 Pricing VIX Futures on Affine Stochastic Volatility Models with Simultaneous StateDependent Jumps both in the S&P 500 Price and Variance Processes: Evidence from Integrated Physical and RiskNeutral Probability Measures
, 2006
"... The paper presents alternate stochastic variance models of VIX time evolution, and develops closedform solutions to the fair price of VIX futures. The derivation for theoretical futures prices is based upon the conditional moments of VIX squared on affine stochastic volatility models with simultane ..."
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with simultaneous jumps both in the asset price and variance processes. An integrated analysis of spot and option prices, or equivalently integrated volatility and VIX time series, is proposed to estimate monthlyupdated model parameters and the market prices of risks. Existing literature, however, has not provided
Option Pricing: Real and RiskNeutral Distributions
"... The central premise of the Black and Scholes [Black, F., Scholes, M. (1973). The pricing of options and corporate liabilities. Journal of Political Economy 81, 637–659] and Merton [Merton, R. (1973). Theory of rational option pricing. Bell Journal of Economics and Management Science 4, 141–184] opti ..."
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Cited by 3 (0 self)
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either because the market is incomplete or because it is imperfect due to the presence of trading costs, or both. Market incompleteness renders the riskneutral probability measure non unique and allows us to determine the option price only within a range. Recognition of trading costs requires a
A RiskNeutral Stochastic Volatility Model
, 1998
"... this paper, we study a riskneutral pricing model in the context of lognormally distributed stochastic volatility. In order to find a riskneutral probability measure suitable for pricing options and OTC derivatives, we have to analyze hedging strategies involving a traded asset which is perfectly c ..."
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this paper, we study a riskneutral pricing model in the context of lognormally distributed stochastic volatility. In order to find a riskneutral probability measure suitable for pricing options and OTC derivatives, we have to analyze hedging strategies involving a traded asset which is perfectly
Divergence measures based on the Shannon entropy
 IEEE Transactions on Information theory
, 1991
"... AbstractA new class of informationtheoretic divergence measures based on the Shannon entropy is introduced. Unlike the wellknown Kullback divergences, the new measures do not require the condition of absolute continuity to be satisfied by the probability distributions involved. More importantly, ..."
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Cited by 666 (0 self)
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AbstractA new class of informationtheoretic divergence measures based on the Shannon entropy is introduced. Unlike the wellknown Kullback divergences, the new measures do not require the condition of absolute continuity to be satisfied by the probability distributions involved. More importantly
Gradient flows in metric spaces and in the space of probability measures
 LECTURES IN MATHEMATICS ETH ZÜRICH, BIRKHÄUSER VERLAG
, 2005
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The Economic Plausibility of Strict Local Martingales in Financial Modelling
, 2010
"... The context for this article is a continuous financial market consisting of a riskfree savings account and a single nondividendpaying risky security. We present two concrete models for this market, in which strict local martingales play decisive roles. The first admits an equivalent riskneutral ..."
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Cited by 7 (0 self)
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probability measure under which the discounted price of the risky security is a strict local martingale, while the second model does not even admit an equivalent riskneutral probability measure, since the putative density process for such a measure is itself a strict local martingale. We highlight a number
Linklevel Measurements from an 802.11b Mesh Network
 In SIGCOMM
, 2004
"... This paper anal yzes the causes of packetl oss in a 38node urban mul tihop 802.11b network. The patterns and causes oflv# are important in the design of routing and errorcorrection proto colv as wel as in networkplqq"(v The paper makes the fol l owing observations. The distribution of intern ..."
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Cited by 567 (11 self)
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scal e. Sign al tonoise ratio and distance have lv tl e predictive val e forl oss rate. Thel arge number of lv ks with intermediate l oss rates is probabl y due to mul tipath fading rather than attenuation or interference. The phenomena discussed here are al l wel l known. The contributions
A database of human segmented natural images and its application to evaluating segmentation algorithms and measuring ecological statistics
 in Proc. 8th Int’l Conf. Computer Vision
, 2001
"... This paper presents a database containing ‘ground truth ’ segmentations produced by humans for images of a wide variety of natural scenes. We define an error measure which quantifies the consistency between segmentations of differing granularities and find that different human segmentations of the s ..."
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Cited by 954 (14 self)
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of the same image are highly consistent. Use of this dataset is demonstrated in two applications: (1) evaluating the performance of segmentation algorithms and (2) measuring probability distributions associated with Gestalt grouping factors as well as statistics of image region properties. 1.
Results 1  10
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