نتایج جستجو برای: multivariate normal distribution

تعداد نتایج: 1234023  

2002
Kabir K. Dutta David F. Babbel Franklin Allen Richard J. Herring

It has been observed that return distributions in general and interest rates in particular exhibit skewness and kurtosis that cannot be explained by the lognormal distribution commonly used as an assumption in many option pricing models. We have replaced the lognormal assumption in the Black (1976) model with the g-and-h distribution and derived a simple, closed-form option pricing formula unde...

2016
Oscar Fontanelli Pedro Miramontes Yaning Yang Germinal Cocho Wentian Li

Although Zipf's law is widespread in natural and social data, one often encounters situations where one or both ends of the ranked data deviate from the power-law function. Previously we proposed the Beta rank function to improve the fitting of data which does not follow a perfect Zipf's law. Here we show that when the two parameters in the Beta rank function have the same value, the Lavalette ...

Journal: :Annals of the Institute of Statistical Mathematics 1966

Journal: :Journal of Multivariate Analysis 1997

Journal: :Journal of Multivariate Analysis 2010

Journal: :Computational Statistics & Data Analysis 2007

Journal: :Journal of Multivariate Analysis 2009

Journal: :Journal of Statistical Software 2010

Journal: :Journal of Multivariate Analysis 1973

Journal: :Computational Statistics & Data Analysis 2009

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