The exponential distribution is a popular model both in practice and in theoretical work. As a result, a multitude of tests based on varied characterisations have been developed for testing the hypothesis that observed ...
Many-multi parameter distributions have limit cases containing fewer parameters. This paper demonstrates that,
when fitting distributions to data realized from a distribution resembling one of these limit cases, the ...
Visagie, I.J.H. (Jaco); Grobler, G.L.(Operations Research Society of South Africa, 2019-06)
A technique known as calibration is often used when a given option pricing model is fitted to observed financial data. This entails choosing the parameters of the model so as to minimise some discrepancy measure between ...
An important question when modelling option prices is which of the multitude of option
pricing models to use. In this paper, the calculation of barrier option prices is considered.
These exotic options are found in many ...
We use a system of first-order partial differential equations that characterize the moment generating function of the d-variate standard normal distribution to construct a class of affine invariant tests for normality in ...
