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Convex order properties of discrete realized variance and applications to variance options
independent increments increasing convex order discretely sampled
2011/3/30
We consider a square-integrable semimartingale with conditionally independent increments and symmetric jump measure, and show that its discrete realized variance dominates its quadratic variation in i...
Nonparametric two-sample tests for increasing convex order
bootstrap critical values empirical stop-loss transform increasing convex order one-sided two-sample tests
2010/3/18
Given two independent samples of non-negative random variables with unknown distribution
functions F and G, respectively, we introduce and discuss two tests for the hypothesis that F is less than or ...
Max-Plus decomposition of supermartingales and convex order. Application to American options and portfolio insurance
Max-Plus decomposition supermartingales convex order Application American options portfolio insurance
2010/12/17
We are concerned with a new type of supermartingale decomposition in the Max-Plus algebra, which essentially consists in expressing any supermartingale of class $(\mathcal{D})$ as a conditional expec...