scholarly journals Estimation of Tail Risk and Moments Using Option Prices with a Novel Pricing Model under a Distorted Lognormal Distribution

2020 ◽  
Vol 2020 ◽  
pp. 1-25
Author(s):  
Yan Chen ◽  
Ya Cai ◽  
Chengli Zheng
Keyword(s):  
Lognormal Distribution ◽  
Risk Measures ◽  
Empirical Test ◽  
Asset Price ◽  
Test Results ◽  
Option Prices ◽  
Tail Risk ◽  
Option Markets ◽  
Novel Method ◽  
Real Market

Risk measures based on the trading option prices in the market are forward-looking, such as VIX. We propose a new method combining distorted lognormal distribution with interpolation to price options accurately and then estimate tail risk. Our method can price the option of any strikes between the maximum and the minimum value of strikes in the real market, which reduces the instability and inaccuracy of using the limited option to measure the risk. In addition, our novel method treats the underlying asset price as a stochastic indicator rather than a fixed indicator as described in previous research studies for risk measurement. Moreover, even if the available sample size is very small, we can measure the risk stably and precisely after interpolation. Finally, the empirical test results of SP500 market show that this method has good performance, especially for the option markets with sparse strikes.

A new algorithm for calibrating local regime-switching models

2020 ◽  
Author(s):  
Xin-Jiang He ◽  
Song-Ping Zhu
Keyword(s):  
Regime Switching ◽  
Financial Risk ◽  
Empirical Test ◽  
Test Results ◽  
Option Prices ◽  
Quantitative Finance ◽  
Switching Model ◽  
Regime Switching Models ◽  
Switching Models ◽  
Real Market

Abstract In quantitative finance practice, model calibration is a key challenge. This is especially so when a local regime-switching model needs to be calibrated because designing an efficient and reliable algorithm to obtain local volatility values as a function of underlying price and time is important for the model to be successfully used in practice. Therefore, this paper proposes a new algorithm for calibrating local regime-switching models with observed option prices available for a particular market that is suitable for this type of model. The newly proposed algorithm is tested with calibrations performed on synthetic as well as real market data. Our empirical test results indicate that the algorithm has great potential to be used in financial risk management.

LOGNORMAL-MIXTURE DYNAMICS AND CALIBRATION TO MARKET VOLATILITY SMILES

2002 ◽  
Vol 05 (04) ◽  
pp. 427-446 ◽  
Author(s):  
DAMIANO BRIGO ◽  
FABIO MERCURIO
Keyword(s):  
General Class ◽  
Implied Volatility ◽  
Asset Price ◽  
Market Volatility ◽  
Option Prices ◽  
Price Model ◽  
Analytical Approximations ◽  
Mixture Dynamics ◽  
Real Market ◽  
Volatility Function

We introduce a general class of analytically tractable models for the dynamics of an asset price based on the assumption that the asset-price density is given by the mixture of known basic densities. We consider the lognormal-mixture model as a fundamental example, deriving explicit dynamics, closed form formulas for option prices and analytical approximations for the implied volatility function. We then introduce the asset-price model that is obtained by shifting the previous lognormal-mixture dynamics and investigate its analytical tractability. We finally consider a specific example of calibration to real market option data.

Risk measures and the impact of asset price bubbles

2015 ◽  
Vol 17 (3) ◽  
pp. 35-56 ◽  
Author(s):  
Robert Jarrow ◽  
Felipe Bastos G. Silva
Keyword(s):  
Risk Measures ◽  
Asset Price ◽  
Asset Price Bubbles ◽  
Price Bubbles ◽  
The Impact

scholarly journals LiDAR-Based Glass Detection for Improved Occupancy Grid Mapping

Sensors ◽  
2021 ◽  
Vol 21 (7) ◽  
pp. 2263
Author(s):  
Haileleol Tibebu ◽  
Jamie Roche ◽  
Varuna De Silva ◽  
Ahmet Kondoz
Keyword(s):  
Laser Scanner ◽  
Point Clouds ◽  
Light Detection And Ranging ◽  
Test Results ◽  
New Approach ◽  
Occupancy Grid ◽  
Laser Scanners ◽  
Novel Method ◽  
Occupancy Grid Mapping ◽  
Cartesian Coordinate

Creating an accurate awareness of the environment using laser scanners is a major challenge in robotics and auto industries. LiDAR (light detection and ranging) is a powerful laser scanner that provides a detailed map of the environment. However, efficient and accurate mapping of the environment is yet to be obtained, as most modern environments contain glass, which is invisible to LiDAR. In this paper, a method to effectively detect and localise glass using LiDAR sensors is proposed. This new approach is based on the variation of range measurements between neighbouring point clouds, using a two-step filter. The first filter examines the change in the standard deviation of neighbouring clouds. The second filter uses a change in distance and intensity between neighbouring pules to refine the results from the first filter and estimate the glass profile width before updating the cartesian coordinate and range measurement by the instrument. Test results demonstrate the detection and localisation of glass and the elimination of errors caused by glass in occupancy grid maps. This novel method detects frameless glass from a long range and does not depend on intensity peak with an accuracy of 96.2%.

The Pricing of Tail Risk and the Equity Premium: Evidence From International Option Markets

2019 ◽  
Vol 38 (3) ◽  
pp. 662-678 ◽  
Author(s):  
Torben G. Andersen ◽  
Nicola Fusari ◽  
Viktor Todorov
Keyword(s):  
Equity Premium ◽  
Tail Risk ◽  
Option Markets

Selective Leaching Nickel from the Pre-Reduced Limonitic Laterite Ore at Atmospheric Pressure

2012 ◽  
Vol 560-561 ◽  
pp. 494-498
Author(s):  
Yong Feng Chang ◽  
Chuan Lin Fan ◽  
Bin Chuan Li ◽  
Xiu Jing Zhai ◽  
Ting An Zhang
Keyword(s):  
Atmospheric Pressure ◽  
Ph Value ◽  
Test Results ◽  
Selective Leaching ◽  
Nickel Extraction ◽  
Extraction Degree ◽  
Leaching Solution ◽  
Novel Method ◽  
Leaching Condition ◽  
Laterite Ore

In this paper a novel method for selective leaching nickel from pre-reduced laterite ore at atmospheric pressure was reported. The reduced calcine was leached in thin acid liquor to liberate the nickel and iron together firstly. By properly controlling the leaching condition, the leached iron ion could hydrolyze as goethite precipitate and regenerate the acid consumed in the leaching procedure. Finally, the nickel is selectively extracted into the leaching solution. The main factors in the leaching process, such as reduction degree of the laterite ore, acidity of the leaching solution were investigated as influence on the nickel extraction. The test results showed that selectively leaching of nickel could be achieved with an extraction degree up to 90% by reducing most of the iron in the lateritic ore to wuestite and controlling the pH value of the leaching solution below 2.5.

KUALITAS AUDIT DAN AUDIT TENURE

2014 ◽  
Vol 10 (1) ◽  
pp. 61
Author(s):  
Reygen Pramana Jati
Keyword(s):  
Logistic Regression ◽  
Literature Review ◽  
Empirical Model ◽  
Audit Quality ◽  
Empirical Test ◽  
Binary Logistic Regression ◽  
Negative Influence ◽  
Test Results ◽  
Financial Report ◽  
Earnings Benchmarks

Audit quality is determined by auditor’s competence to find misstatements in financial report and report the findings in the audit report that makes auditor’s independency strongly affect audit quality, in addition to auditor’s competency in performing their duties. Auditor’s independency is related to lengthy audit engagement with client. This study aims to obtain empirical evidence about the influence of lengthy audit engagement to audit quality. Based on the literature review, the hypothesis proposed in this study is the length of the audit engagement negatively affects audit quality. This study uses earnings benchmarks as proxy of audit quality developed from Carey and Simnett (2006). To test the hypothesis, an empirical model was developed and tested with binary logistic regression technique. Empirical test results indicate a significant negative influence of lengthy audit engagements to audit quality. It means that lengthy audit engagement deteriorates audit quality, indicated by the failure to meet earnings benchmark. Keywords: Audit Tenure, Audit Quality, Earnings Benchmark

A Four Novel Energy Pattern Factor Method for Computation of Weibull Parameter in Impact Strength Reliability of Fibre-Reinforced Concrete

2018 ◽  
Vol 7 (3.12) ◽  
pp. 272
Author(s):  
Gayathri R ◽  
Murali. G ◽  
Parthiban Kathirvel ◽  
Haridharan M.K ◽  
Karthikeyan. K
Keyword(s):  
Reinforced Concrete ◽  
Impact Strength ◽  
Shape Parameter ◽  
Failure Strength ◽  
Fibre Reinforced Concrete ◽  
Test Results ◽  
Weibull Parameter ◽  
Impact Failure ◽  
Novel Method ◽  
The Impact

Impact strength data is a noteworthy factor for designing airport pavements, civilian and military structures etc and it is ought to be modelled precisely. In order to achieve an appropriate modelling data, it is important to select a suitable estimation method. One such commonly used statistical tool is the two parameter Weibull distribution for modelling impact failure strength accurately besides the variations in test results. This study statistically commandsthe variations in the impact failure strength (number of blows to induce failure) of fibre reinforced concrete (FRC) subjected to drop hammer test. Subsequently, a four-different novel method for the computation of Weibull parameter (Shape parameter) based on the earlier researchers test results has been proposed. The accuracy of the proposed four novel method is demonstrated by comparing with power density method and verified with goodness of fit test. Finally, the impact failure strength of FRC is offered in terms of reliability. The proposed four NEPFM is very suitable and efficient to compute the shape parameter in impact failure strength applications. 

Simulation Analysis of the Working Process of the Corn Seed Metering Device with Combination Inner-Cell

2012 ◽  
Vol 215-216 ◽  
pp. 160-167 ◽  
Author(s):  
Qing Long Li ◽  
Ji Yang Yu ◽  
Qiang Qiang Zhang ◽  
Jian Qun Yu ◽  
Hong Fu
Keyword(s):  
Simulation Analysis ◽  
Three Dimensional ◽  
Bench Test ◽  
Particle Model ◽  
Test Results ◽  
Working Process ◽  
Corn Seed ◽  
3D Cad ◽  
Novel Method ◽  
Seed Metering Device

A three-dimensional discrete element method analytic model of the corn seed metering device with combination inner-cell was established based on its 3D CAD model, and the three-dimensional particle model of corn seeds was built by using the method of combination spherical particle. The working process of the corn seed metering device was simulated and analyzed by self-developed three-dimensional CAE software. It was observed that the simulative results of the seeding performance, clearing angles and dropping angles of the corn seeds well agreed with the bench test results. A novel method for studying and designing of the corn seed metering device was put forward.

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