scholarly journals Improving the option pricing performance of GARCH models in inefficient market

2020 ◽  
Vol 17 (2) ◽  
pp. 14-25
Author(s):  
Noureddine Lahouel ◽  
Slaheddine Hellara
Keyword(s):  
Option Pricing ◽  
Market Efficiency ◽  
Real Data ◽  
Sample Analysis ◽  
New Approach ◽  
Out Of Sample ◽  
Garch Processes ◽  
The Difference ◽  
The Stability ◽  
Standard Risk

Understanding the relation between option pricing and market efficiency is important. Indeed, emphasizing this relation generates new insights that are appropriate in practice. These insights give a better understanding of the current limitations of the option pricing and hedging methods. This article thus aims to improve the performance of the option pricing approach. To start, the relation between the option pricing methodology and the informational market efficiency was discussed. It is, therefore, useful, before proceeding to apply the standard risk-neutral approach, to check the efficiency assumption. New modified GARCH processes were used to model the dynamics of the asset returns in the option pricing framework. The new considered approaches allow describing the dynamic of returns when the market is inefficient. Using real data on CAC 40 index, the performance of different models as a function of maturity and moneyness was studied. The in-sample analysis, interested in the stability of the pricing models across time, showed that the new approach, developed under the affine GARCH process, is the most accurate. The study of the out-of-sample performance, which aims to evaluate the forecasting ability of different approaches, confirmed the results of the in-sample analysis. For the optional portfolio hedging, always the best hedging approach is that obtained under the affine GARCH model. After a regression study, it was found that the difference between theoretical and observed option values can be explained by factors, which are not taken into account in the proposed pricing formulae.

scholarly journals Defining an Optimal Cut-Point Value in ROC Analysis: An Alternative Approach

2017 ◽  
Vol 2017 ◽  
pp. 1-14 ◽  
Author(s):  
Ilker Unal
Keyword(s):  
Diagnostic Accuracy ◽  
Sensitivity And Specificity ◽  
Roc Curve ◽  
Simulated Data ◽  
Real Data ◽  
Roc Curve Analysis ◽  
New Approach ◽  
Cut Point ◽  
Alternative Approach ◽  
The Difference

ROC curve analysis is often applied to measure the diagnostic accuracy of a biomarker. The analysis results in two gains: diagnostic accuracy of the biomarker and the optimal cut-point value. There are many methods proposed in the literature to obtain the optimal cut-point value. In this study, a new approach, alternative to these methods, is proposed. The proposed approach is based on the value of the area under the ROC curve. This method defines the optimal cut-point value as the value whose sensitivity and specificity are the closest to the value of the area under the ROC curve and the absolute value of the difference between the sensitivity and specificity values is minimum. This approach is very practical. In this study, the results of the proposed method are compared with those of the standard approaches, by using simulated data with different distribution and homogeneity conditions as well as a real data. According to the simulation results, the use of the proposed method is advised for finding the true cut-point.

Use of a Lyophilized Reference Plasma to Compare Coagulation Test Procedures

1975 ◽  
Vol 34 (02) ◽  
pp. 426-444 ◽  
Author(s):  
J Kahan ◽  
I Nohén
Keyword(s):  
Oral Anticoagulant Therapy ◽  
Repeated Measurements ◽  
Test Procedures ◽  
Coagulation Activity ◽  
Close Relationship ◽  
Measured Activity ◽  
Test Materials ◽  
The Difference ◽  
The Stability ◽  
The One

SummaryIn 4 collaborative trials, involving a varying number of hospital laboratories in the Stockholm area, the coagulation activity of different test materials was estimated with the one-stage prothrombin tests routinely used in the laboratories, viz. Normotest, Simplastin-A and Thrombotest. The test materials included different batches of a lyophilized reference plasma, deep-frozen specimens of diluted and undiluted normal plasmas, and fresh and deep-frozen specimens from patients on long-term oral anticoagulant therapy.Although a close relationship was found between different methods, Simplastin-A gave consistently lower values than Normotest, the difference being proportional to the estimated activity. The discrepancy was of about the same magnitude on all the test materials, and was probably due to a divergence between the manufacturers’ procedures used to set “normal percentage activity”, as well as to a varying ratio of measured activity to plasma concentration. The extent of discrepancy may vary with the batch-to-batch variation of thromboplastin reagents.The close agreement between results obtained on different test materials suggests that the investigated reference plasma could be used to calibrate the examined thromboplastin reagents, and to compare the degree of hypocoagulability estimated by the examined PIVKA-insensitive thromboplastin reagents.The assigned coagulation activity of different batches of the reference plasma agreed closely with experimentally obtained values. The stability of supplied batches was satisfactory as judged from the reproducibility of repeated measurements. The variability of test procedures was approximately the same on different test materials.

Inter-country inequality as a dynamic process and the problem of post-industrial development

2018 ◽  
pp. 5-29 ◽  
Author(s):  
L. M. Grigoryev ◽  
V. A. Pavlyushina
Keyword(s):  
Economic Growth ◽  
Political Institutions ◽  
Industrial Development ◽  
Modern World ◽  
New Approach ◽  
Development Level ◽  
The World ◽  
Long Time ◽  
The Difference ◽  
Post Industrial

The phenomenon of economic growth is studied by economists and statisticians in various aspects for a long time. Economic theory is devoted to assessing factors of growth in the tradition of R. Solow, R. Barrow, W. Easterly and others. During the last quarter of the century, however, the institutionalists, namely D. North, D. Wallis, B. Weingast as well as D. Acemoglu and J. Robinson, have shown the complexity of the problem of development on the part of socioeconomic and political institutions. As a result, solving the problem of how economic growth affects inequality between countries has proved extremely difficult. The modern world is very diverse in terms of development level, and the article offers a new approach to the formation of the idea of stylized facts using cluster analysis. The existing statistics allows to estimate on a unified basis the level of GDP production by 174 countries of the world for 1992—2016. The article presents a structured picture of the world: the distribution of countries in seven clusters, different in levels of development. During the period under review, there was a strong per capita GDP growth in PPP in the middle of the distribution, poverty in various countries declined markedly. At the same time, in 1992—2016, the difference increased not only between rich and poor groups of countries, but also between clusters.

Host-Guest Interactions on Electrode Surfaces for Immobilization of Molecular Catalysts

2020 ◽  
Author(s):  
Laurent Sévery ◽  
Jacek Szczerbiński ◽  
Mert Taskin ◽  
Isik Tuncay ◽  
Fernanda Brandalise Nunes ◽  
...  
Keyword(s):  
Aqueous Media ◽  
Heterogeneous Systems ◽  
Catalytic Systems ◽  
New Approach ◽  
Molecular Systems ◽  
Electrode Surfaces ◽  
Catalytic Surfaces ◽  
Oxide Electrodes ◽  
The Stability ◽  
Molecular Catalysts

The strategy of anchoring molecular catalysts on electrode surfaces combines the high selectivity and activity of molecular systems with the practicality of heterogeneous systems. The stability of molecular catalysts is, however, far less than that of traditional heterogeneous electrocatalysts, and therefore a method to easily replace anchored molecular catalysts that have degraded could make such electrosynthetic systems more attractive. Here, we apply a non-covalent “click” chemistry approach to reversibly bind molecular electrocatalysts to electrode surfaces via host-guest complexation with surface-anchored cyclodextrins. The host-guest interaction is remarkably strong and allows the flow of electrons between the electrode and the guest catalyst. Electrosynthesis in both organic and aqueous media was demonstrated on metal oxide electrodes, with stability on the order of hours. The catalytic surfaces can be recycled by controlled release of the guest from the host cavities and readsorption of fresh guest. This strategy represents a new approach to practical molecular-based catalytic systems.

In the stability of paints and varnishes for protective and decorative wood finish

2016 ◽  
Author(s):  
Ю.И. Цой
Keyword(s):  
Organic Solvents ◽  
Evaluation Criteria ◽  
Ternary Systems ◽  
Solubility Parameters ◽  
Formaldehyde Resin ◽  
Film Forming ◽  
The Difference ◽  
Molecular Forces ◽  
The Stability ◽  
Thermodynamic Interaction

Задача получения однородного состава ЛКМ сводится к правильному выбору пленкообразователей и соответствующих растворителей и, в случае необходимости, разбавителей и добавок. На основе положений теории растворимости была проведена оценка совместимости компонентов и стабильности таких систем. Критериями оценки были приняты параметры растворимости и термодинамического взаимодействия. Исследовали совместимость алкидных лаков с аминоформальдегидными смолами в бутаноле, и результаты этих исследований представлены в треугольной фазовой диаграмме. Для оценки совместимости смол по результатам расчета параметров термодинамического взаимодействия были построены спинодали для тройных систем. Как показывает анализ результатов проведенных исследований, даже при большой разности ?? = |?12 – ?13| = 0,2 наблюдается небольшая область несовместимости. С уменьшением разности ?? область несовместимости сужается. При ?23 > ?с область несовместимости расширяется как для ? = 0,2, так и для ?? = 0,1 и ?? = 0. Таким образом, для таких систем на совместимость компонентов, в первую очередь, влияет их взаимодействие между собой – чем оно больше, тем лучше они совместимы. Проведенные исследования показали, что парциальные параметры растворимости, учитывающие природу когезионных сил, более объективно характеризуют растворимость пленкообразующих смол в органических растворителях, чем их общий параметр растворимости. Растворимость пленкообразующих алкидных и этерифицированных аминоформальдегидных смол в органических растворителях обусловлена термодинамическим взаимодействием молекулярных сил различной природы. Стабильность смеси алкидной и этерифицированной аминоформальдегидной смолы в бутаноле обусловлена в большей степени термодинамическим взаимодействием молекулярных сил; при этом степень бутанолизации меламиноформальдегидной смолы оказывает наибольшее влияние на стабильность cистемы. Проведенные исследования по стабильности лакокрасочных смесей из различных пленкообразующих смол на основе рассмотренных критериев оценки могут быть использованы для совершенствования технологии защитно-декоративной отделки древесины. The problem of obtaining a homogeneous composition of the coatings is reduced to the proper selection of film-forming agents, and diluent and, if appropriate, diluents and additives. On the basis of the theory of solubility, we have carried out the assessment of the compatibility of the components and stability of such systems. The evaluation criteria were adopted the parameters of the solubility and thermodynamic interaction. Researched the compatibility with alkyd varnishes aminoformaldehyde resin in butanol, and the results of these studies are presented in the triangular phase diagram. To evaluate the compatibility of the resins according to the results of calculation of thermodynamic parameters of interaction were built spinodal for ternary systems. As the analysis of the results of the studies, even when the difference ??|?12 – ?13| = 0,2 there is a small area of incompatibility. With the decrease of the difference ? ? region incompatibility narrows. When ?23> ?с region incompatibility extends to ?? = 0,2, and for ?? = 0.1 and ?? = 0. Thus, for such systems, compatibility of components, primarily, affects their interaction with each other – the further away it is, the better they are compatible. Studies have shown that the partial solubility parameters, which take into account the nature of cohesive forces, more objectively characterize the solubility of film-forming resins in organic solvents than their total solubility parameter. The solubility and film-forming aminoformaldehyde esterified alkyd resins in organic solvents due to thermodynamic interaction of molecular forces of different nature. Тhe stability of the mixture and aminoformaldehyde esterified alkyd resin in butanol is generated largely by thermodynamic forces of molecular interaction; the degree of butanolate melamine-formaldehyde resin has the greatest effect on the stability of the system. Conducted research on the stability of the paint mixtures of various film-forming resins on the basis of the evaluation criteria can be used to improve the technology of protective and decorative wood finish.

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.

Stability and mutual impact of perception of parental pressure and infants' social support – A study based on the difference between employment status and household income

2021 ◽  
pp. 002072092199705
Author(s):  
Yong Wang
Keyword(s):  
Household Income ◽  
Employment Status ◽  
Working Mothers ◽  
Social Research ◽  
Research Report ◽  
Parental Pressure ◽  
Income Levels ◽  
Significant Difference ◽  
The Difference ◽  
The Stability

The purpose of this study is to explore the stability and interaction between parental pressure and social research report, as well as the role of employment status and family income levels in this process. This study used a special study on Korean children (PSKC) 2–4 waves. Use t-test, correlation and autoregressive cross-delay modeling to analyze the data. The main findings of this study are: First, over time, parental pressure and mother’s social research report are consistent. Secondly, the pressure of motherhood and childcare has an obvious lagging effect on upbringing, and vice versa. Third, there is no significant difference between working mothers and non-working mothers in terms of the stability of working parents' pressure, social research report and social research report for children's pressure channels. However, parental pressure can only predict the social research report of working mothers. Fourth, there is no significant difference between the stability and interaction of these two structures in household income levels. In short, the results show that, over time, parental pressure is consistent with mother’s social research report. The results also show that there is a significant cross-lag effect between the mothers’ perceptions of mutual pressure analysis. In the process from parental pressure to social research report, I found the difference between working and non-working mothers. The advantage of this study is that the expected longitudinal design was adopted during infancy and the priority between the two structures can be considered. The results of this study can be used as a source of intervention plans to help parents withstand severe parenting pressure and lack of social research report.

Words are constructions, too: A construction-based approach to English ablaut reduplication

Linguistics ◽  
2020 ◽  
Vol 58 (6) ◽  
pp. 1701-1735
Author(s):  
Jeroen van de Weijer ◽  
Weiyun Wei ◽  
Yumeng Wang ◽  
Guangyuan Ren ◽  
Yunyun Ran
Keyword(s):  
New Approach ◽  
The Difference

AbstractIn this article we present a new approach to words of the type zigzag, chitchat, etc. in English. Such words form a formal (phonological) and functional (semantic) pattern in English. We argue that this pattern should be analysed in a construction-based approach, which has clear advantages over other approaches, e.g. analyses involving extragrammaticality or a synchronically productive reduplication process. We propose to extend the construction-based approach beyond its original scope (syntactic constructions) to words that may even no longer be morphologically complex. Finally, we make a tentative suggestion about how the difference between productive and unproductive patterns could be captured in the construction-based approach.

scholarly journals New Method for Generating New Families of Distributions

Symmetry ◽  
2021 ◽  
Vol 13 (4) ◽  
pp. 726
Author(s):  
Lamya A. Baharith ◽  
Wedad H. Aljuhani
Keyword(s):  
Exponential Distribution ◽  
Real Data ◽  
Rate Function ◽  
New Method ◽  
Likelihood Method ◽  
Alpha Power ◽  
Unknown Parameters ◽  
Failure Rate Function ◽  
New Approach ◽  
Numerical Studies

This article presents a new method for generating distributions. This method combines two techniques—the transformed—transformer and alpha power transformation approaches—allowing for tremendous flexibility in the resulting distributions. The new approach is applied to introduce the alpha power Weibull—exponential distribution. The density of this distribution can take asymmetric and near-symmetric shapes. Various asymmetric shapes, such as decreasing, increasing, L-shaped, near-symmetrical, and right-skewed shapes, are observed for the related failure rate function, making it more tractable for many modeling applications. Some significant mathematical features of the suggested distribution are determined. Estimates of the unknown parameters of the proposed distribution are obtained using the maximum likelihood method. Furthermore, some numerical studies were carried out, in order to evaluate the estimation performance. Three practical datasets are considered to analyze the usefulness and flexibility of the introduced distribution. The proposed alpha power Weibull–exponential distribution can outperform other well-known distributions, showing its great adaptability in the context of real data analysis.

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