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Full-Text Articles in Physical Sciences and Mathematics
On The Estimation Of Heston-Nandi Garch Using Returns And/Or Options: A Simulation-Based Approach, Xize Ye
On The Estimation Of Heston-Nandi Garch Using Returns And/Or Options: A Simulation-Based Approach, Xize Ye
Electronic Thesis and Dissertation Repository
In this thesis, the Heston-Nandi GARCH(1,1) (henceforth, HN-GARCH) option pricing model is fitted via 4 maximum likelihood-based estimation and calibration approaches using simulated returns and/or options. The purpose is to examine the benefits of the joint estimation using both returns and options over the fundamental returns-only estimation on GARCH models. From our empirical studies, with the additional option sample, we can improve the efficiency of the estimates for HN-GARCH parameters. Nonetheless, the improvements for the risk premium factor, both from empirical standard errors, and sample RMSEs, are insignificant. In addition, option prices are simulated with a pre-defined noise structure and …
Jmasm 57: Bayesian Survival Analysis Of Lomax Family Models With Stan (R), Mohammed H. A. Abujarad, Athar Ali Khan
Jmasm 57: Bayesian Survival Analysis Of Lomax Family Models With Stan (R), Mohammed H. A. Abujarad, Athar Ali Khan
Journal of Modern Applied Statistical Methods
An attempt is made to fit three distributions, the Lomax, exponential Lomax, and Weibull Lomax to implement Bayesian methods to analyze Myeloma patients using Stan. This model is applied to a real survival censored data so that all the concepts and computations will be around the same data. A code was developed and improved to implement censored mechanism throughout using rstan. Furthermore, parallel simulation tools are also implemented with an extensive use of rstan.