5,284 research outputs found
Model-Free Implied Volatility under Jump-Diffusion Models
The model-free implied volatility (MFIVol) is intended to measure the variability of underlying asset price on which options are written. Analytically, however, it does not measure exactly the variability under jump diffusion. Our extensive empirical study suggests that the approximation error can be as much as about 3%--5% although most samples over the data period exhibit less than 1% errors. Even with the non-negligible errors, the MFIVol may be still considered a valid volatility measure from the perspective of risk-neutral return density, in the sense that it is bounded by the two variability measures as well as reflecting the shape of the risk-neutral density via its higher central moments
Generalized residual vector quantization for large scale data
Vector quantization is an essential tool for tasks involving large scale
data, for example, large scale similarity search, which is crucial for
content-based information retrieval and analysis. In this paper, we propose a
novel vector quantization framework that iteratively minimizes quantization
error. First, we provide a detailed review on a relevant vector quantization
method named \textit{residual vector quantization} (RVQ). Next, we propose
\textit{generalized residual vector quantization} (GRVQ) to further improve
over RVQ. Many vector quantization methods can be viewed as the special cases
of our proposed framework. We evaluate GRVQ on several large scale benchmark
datasets for large scale search, classification and object retrieval. We
compared GRVQ with existing methods in detail. Extensive experiments
demonstrate our GRVQ framework substantially outperforms existing methods in
term of quantization accuracy and computation efficiency.Comment: published on International Conference on Multimedia and Expo 201
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