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The Vanna–Volga method is a mathematical tool used in finance. It is a technique for pricing first-generation exotic options in foreign exchange market (FX) derivatives . Description
In mathematical finance, the Greeks are the quantities (known in calculus as partial derivatives; first-order or higher) representing the sensitivity of the price of a derivative instrument such as an option to changes in one or more underlying parameters on which the value of an instrument or portfolio of financial instruments is dependent.
Note that the gamma and vega are the same value for calls and puts. This can be seen directly from put–call parity , since the difference of a put and a call is a forward, which is linear in S and independent of σ (so a forward has zero gamma and zero vega).
The variance gamma process has been successfully applied in the modeling of credit risk in structural models. The pure jump nature of the process and the possibility to control skewness and kurtosis of the distribution allow the model to price correctly the risk of default of securities having a short maturity, something that is generally not possible with structural models in which the ...
Since the gamma function is meromorphic and nonzero everywhere in the complex plane, its reciprocal is an entire function. As an entire function, it is of order 1 (meaning that log log | 1 / Γ( z ) | grows no faster than log | z | ), but of infinite type (meaning that log | 1 / Γ( z ) | grows faster than any multiple of | z ...
In q-analog theory, the -gamma function, or basic gamma function, is a generalization of the ordinary gamma function closely related to the double gamma function. It was introduced by Jackson (1905) .
In Bayesian inference, the gamma distribution is the conjugate prior to many likelihood distributions: the Poisson, exponential, normal (with known mean), Pareto, gamma with known shape σ, inverse gamma with known shape parameter, and Gompertz with known scale parameter.
The important parameters of charmed baryons, to be studied, consist of four properties. They are firstly the mass, secondly the lifetime for those with a measurable lifetime, thirdly the intrinsic width (those particles that have too short a lifetime to measure have a measurable "width" or spread in mass due to Heisenberg's uncertainty principle), and lastly their decay modes.