7 citations · 12 across the 9 of their papers we have counts for
9 papers
The Generalized Gamma distribution as a useful RND under Heston's stochastic volatility model
Ben Boukai
Following Boukai (2021) we present the Generalized Gamma (GG) distribution as a possible RND for modeling European options prices under Heston's (1993) stochastic volatility (SV) m…
On the RND under Heston's stochastic volatility model
Ben Boukai
We consider Heston's (1993) stochastic volatility model for valuation of European options to which (semi) closed form solutions are available and are given in terms of characterist…
Bayesian Modeling of COVID-19 Positivity Rate -- the Indiana experience
Ben Boukai, Jiayue Wang
In this short technical report we model, within the Bayesian framework, the rate of positive tests reported by the the State of Indiana, accounting also for the substantial variabi…
A statistical Testing Procedure for Validating Class Labels
Melissa C. Key, Ben Boukai
Motivated by an open problem of validating protein identities in label-free shotgun proteomics work-flows, we present a testing procedure to validate class/protein labels using ava…
How much is your Strangle worth? On the relative value of the Symmetric Strangle under the Black-Scholes model
Ben Boukai
Trading option strangles is a highly popular strategy often used by market participants to mitigate volatility risks in their portfolios. In this paper we propose a measure of the…
Statistical Inference on Partially Linear Panel Model under Unobserved Linearity
Ruiqi Liu, Ben Boukai, Zuofeng Shang
A new statistical procedure, based on a modified spline basis, is proposed to identify the linear components in the panel data model with fixed effects. Under some mild assumptions…