Essays about: "local variance gamma"

Found 2 essays containing the words local variance gamma.

1. 1. Evaluation of pixel based and object based classification methods for land cover mapping with high spatial resolution satellite imagery, in the Amazonas, Brazil

   University essay from Lunds universitet/Institutionen för naturgeografi och ekosystemvetenskap

   Author : Linnea Jonsson; [2015]
   Keywords : support vector machine; maximum likelihood; SPOT-5; classification; geography; physical geography; RBF-kernel; OBIA; multiresolution segmentation; Earth and Environmental Sciences;

   Abstract : In the state of Acre, Brazil, there is ongoing land use change, where inhabitants of this part of the Amazonian rainforest practice shifting agriculture. Practicing this type of agriculture is, according to the SKY Rainforest Rescue organization, damaging to forest ecosystems. READ MORE

3. 2. Local Volatility Calibration on the Foreign Currency Option Market

   University essay from Linköpings universitet/Beräkningsmatematik; Linköpings universitet/Tekniska högskolan

   Author : Markus Falck; [2014]
   Keywords : FX-options; local volatility calibration; local variance gamma; votality interpolation extrapolation; variance swaps; option pricing;

   Abstract : In this thesis we develop and test a new method for interpolating and extrapolating prices of European options. The theoretical base originates from the local variance gamma model developed by Carr (2008), in which the local volatility model by Dupire (1994) is combined with the variance gamma model by Madan and Seneta (1990). READ MORE