Essays about: "lognormal"

Showing result 11 - 15 of 21 essays containing the word lognormal.

  1. 11. Unsupervised Change Detection Using Multi-Temporal SAR Data : A Case Study of Arctic Sea Ice

    University essay from KTH/Geodesi och geoinformatik

    Author : Linda Fröjse; [2014]
    Keywords : sea ice; the Arctic; Kittler-Illingworth; generalized Gaussian distribution; log-normal distribution; ERS; ENVISAT; SAR; ASAR; havsis; Arktis; Kittler-Illingworth; generaliserad normaldistribution; lognormal distribtion; ERS; ENVISAT; SAR; ASAR;

    Abstract : The extent of Arctic sea ice has decreased over the years and the importance of sea ice monitoring is expected to increase. Remote sensing change detection compares images acquired over the same geographic area at different times in order to identify changes that might have occurred in the area of interest. READ MORE

  3. 12. Valuation of Asian Options-with Levy Approximation

    University essay from Lunds universitet/Nationalekonomiska institutionen

    Author : Qian Zhang; Aleksandra Mraovic; [2014]
    Keywords : Asian options; Monte Carlo simulation; constant volatility; stochastic volatility; Business and Economics;

    Abstract : Asian options are difficult to price analytically. Even though they have attracted much attention in recent years, there is still no closed-form solution available for pricing the arithmetic Asian options, because the distribution of the density function is unknown. READ MORE

  4. 13. RND estimation stability with respect to methodology : A study on the EURO STOXX 50 index around the September 2008 stock market crash

    University essay from KTH/Matematisk statistik

    Author : Misha Wolynski; [2013]
    Keywords : ;

    Abstract : The aim of this study is to investigate whether implied RND functions are stable with respect to the choice of estimation methodology and whether the stability is affected by the stock market crash of September 15 2008. In order to do so, I estimate RND functions for the EURO STOXX 50 equity index using two different methods, namely the fully parametric two-lognormal method and a curve-fitting method based on the approach proposed by Shimko (1993). READ MORE

  5. 14. Pricing a basket option when volatility is capped using affinejump-diffusion models

    University essay from KTH/Matematisk statistik

    Author : Daniel Krebs; [2013]
    Keywords : Exotic option; basket option; risk management; greeks; affine jumpdiffusions; the Black-Scholes model; the Heston model; Bates model with lognormal jumps; the Bates model with log-asymmetric double exponential jumps; the Stochastic-Volatility-Simultaneous-Jumps SVSJ -model; the Sepp-model;

    Abstract : This thesis considers the price and characteristics of an exotic option called the Volatility-Cap-Target-Level(VCTL) option. The payoff function is a simple European option style but the underlying value is a dynamic portfolio which is comprised of two components: A risky asset and a non-risky asset. READ MORE

  6. 15. Extending geographic information systems to urban morphological analysis with a space syntax approach

    University essay from Avdelningen för Industriell utveckling, IT och Samhällsbyggnad

    Author : Mian Wang; [2012]
    Keywords : geographic information systems; space syntax; Axwoman; axial lines; scaling analysis; topological scaling analysis;

    Abstract : Branches of complexity theory have been widely employed in geographic information systems (GIS) to explore phenomena that appear in urban environments. Among these, space syntax, as an urban morphological application of complexity theory, has attracted increasing attention in recent years. READ MORE