arXiv subjects

Myong-Guk Sin

Publications and source records attributed to Myong-Guk Sin.

2 recordsLinked to original sources

arXiv2014

A goodness-of-fit test of the errors in nonlinear autoregressive time series models with stationary $α$-mixing error terms

In this work we deal with the problem of fitting an error density to the goodness-of-fit test of the errors in nonlinear autoregressive time series models with stationary $α$-mixing error terms. The test statistic is based on the integrated squared error of the nonparametric error density estimate and the null error density. By deriving the asymptotic normality of test statistics in these models, we extend the result of Cheng and Sun (Statist. Probab. Lett. \textbf{78}, 1(2008), 50-59) in the model with i.i.d error terms to the more general case.

math.ST↗

arXiv2014

Efficient hedging in general Black-Scholes model

An investor faced with a contingent claim may eliminate risk by perfect hedging, but as it is often quite expensive, he seeks partial hedging (quantile hedging or efficient hedging) that requires less capital and reduces the risk. Efficient hedging for European call option was considered in the standard Black-Scholes model with constant drift and volatility coefficients. In this paper we considered the efficient hedging for European call option in general Black-Scholes model $dX_t=X_t(m(t)dt+σ(t)dw(t))$ with time-varying drift and volatility coefficients and in fractional Black-Scholes model $dX_t=X_t(σB_H(t)+mdt)$ with constant coefficients.

q-fin.PR↗