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Results 11 - 20
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2,132
Quantum Theory for the Binomial Model in Finance
, 2001
"... This paper is concerned with the quantum properties of the binomial model (or, the CRR-model). We show that the single-step binomial model is incomplete in the quantum setting. All risk-neutral states of the single-step binomial model in the quantum setting are characterized. Moreover, it is shown t ..."
Abstract
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Cited by 1 (0 self)
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This paper is concerned with the quantum properties of the binomial model (or, the CRR-model). We show that the single-step binomial model is incomplete in the quantum setting. All risk-neutral states of the single-step binomial model in the quantum setting are characterized. Moreover, it is shown
Estimation of parameters in the beta binomial model
- Annals of the Institute of Statistical Mathematics
, 1994
"... Abst rac t. This paper contains ome alternative methods for estimating the parameters in the beta binomial and truncated beta binomial models. These methods are compared with maximum likelihood on the basis of Asymptotic Relative Efficiency (ARE). For the beta binomial distribution a simple estima-t ..."
Abstract
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Cited by 2 (0 self)
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Abst rac t. This paper contains ome alternative methods for estimating the parameters in the beta binomial and truncated beta binomial models. These methods are compared with maximum likelihood on the basis of Asymptotic Relative Efficiency (ARE). For the beta binomial distribution a simple
Effect of Volatility on Binomial Model for the Valuation of American Options
"... Abstract: This paper presents the effect of volatility on binomial model for the valuation of American options. Volatility is a measure of the dispersion of an asset price about its mean level over a fixed time interval. Binomial model is a widespread numerical method of calculating the price of Ame ..."
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Abstract: This paper presents the effect of volatility on binomial model for the valuation of American options. Volatility is a measure of the dispersion of an asset price about its mean level over a fixed time interval. Binomial model is a widespread numerical method of calculating the price
© Brazilian Statistical Association, 2010 Bayesian analysis of a correlated binomial model
"... Bayesian analysis of a correlated binomial model ..."
BINOMIAL MODELS FOR OPTION VALUATION -- EXAMINING AND IMPROVING CONVERGENCE
, 1995
"... Binomial models, which rebuild the continuous setup in the limit, serve for approximative valuation of options, especially where formulas cannot be derived mathematically. Even with the valuation of European call options distorting irregularities occur. For this case, sources of convergence-pattern ..."
Abstract
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Cited by 20 (1 self)
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Binomial models, which rebuild the continuous setup in the limit, serve for approximative valuation of options, especially where formulas cannot be derived mathematically. Even with the valuation of European call options distorting irregularities occur. For this case, sources of convergence
Implied Binomial Models Master’s thesis
"... In this paper we extend the standard binomial model to obtain a more flexible model that will be calibrated with market data on European puts and calls. We also discuss how this extended model can be used to incorporate an investor’s view of the future behaviour of the stock market. Contents ..."
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In this paper we extend the standard binomial model to obtain a more flexible model that will be calibrated with market data on European puts and calls. We also discuss how this extended model can be used to incorporate an investor’s view of the future behaviour of the stock market. Contents
Random Parameter Negative Binomial Model of Signalized Intersections
"... Factors affecting accident frequencies at 72 signalized intersections in the Gyeonggi-Do (province) over a four-year period (2007∼ 2010) were explored using the random parameters negative binomial model. The empirical results from the comparison with fixed parameters binomial model show that the ..."
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Factors affecting accident frequencies at 72 signalized intersections in the Gyeonggi-Do (province) over a four-year period (2007∼ 2010) were explored using the random parameters negative binomial model. The empirical results from the comparison with fixed parameters binomial model show
Statistical Methods for the fl-Binomial Model in Teratology
"... The,8-binomial model is widely used for analyzing teratological data involving littermates. Recent developments in statistical analyses of teratological data are briefly reviewed with emphasis on the model. For statistical inference of the parameters in the,8-binomial distribution, separation of the ..."
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The,8-binomial model is widely used for analyzing teratological data involving littermates. Recent developments in statistical analyses of teratological data are briefly reviewed with emphasis on the model. For statistical inference of the parameters in the,8-binomial distribution, separation
Bayesian Estimation and Prediction for the BetaBinomial Model
- Journal of Business & Economic Statistics
, 1987
"... The beta-binomial model which is generated by a simple mixture model has been widely applied in the social, physical, and health sciences. Lee and Sabavala (1987) proposed a Bayesian approach with a conjugate-type beta family of priors for suitably transformed parameters in the beta-binomial, and de ..."
Abstract
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Cited by 9 (0 self)
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The beta-binomial model which is generated by a simple mixture model has been widely applied in the social, physical, and health sciences. Lee and Sabavala (1987) proposed a Bayesian approach with a conjugate-type beta family of priors for suitably transformed parameters in the beta-binomial
Truncated Estimate in Log-Binomial Model: Algorithm and Simulation
"... Abstract: Problem statement: Relative risk has concrete meanings of comparing two groups and measuring the association between exposures and outcomes in medical and public health studies. Log-binomial model, using a log link function on binary outcomes, is straightforward to estimate risk ratios, wh ..."
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Abstract: Problem statement: Relative risk has concrete meanings of comparing two groups and measuring the association between exposures and outcomes in medical and public health studies. Log-binomial model, using a log link function on binary outcomes, is straightforward to estimate risk ratios
Results 11 - 20
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2,132
