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The Advance in Partial Distribution£ºA New Mathematical Tool for Economic Management

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Author Info
Feng Dai (Zhengzhou Information Engineering University)
Lin Liang (Zhengzhou Information Engineering University)

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Abstract

In this paper, the Partial Distribution (PD) and multivariate Partial Distribution (MPD) are presented in their concepts, properties and applications, and PD is compared with the lognormal and the levy distribution. Though the levy distribution is better to describe the exchange returns in security market on a moderately large volatility range, the lognormal is better in a region of low values of volatility. We shall try to elucidate that Partial Distribution is better than lognormal distribution and levy distribution in many respects, and PD and MPD have some interesting properties which some other probability distributions have not. From PD and MPD, lots of interesting results can be acquired and many interesting economic propositions could be interpreted in analytic way. These properties could describe analytically many of phenomena in economic management better, and the results based on PD and MPD could be applied to solve many problems in economic management.

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Publisher Info
Paper provided by EconWPA in its series Econometrics with number 0508001.

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Length: 12 pages
Date of creation: 01 Aug 2005
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Handle: RePEc:wpa:wuwpem:0508001

Note: Type of Document - pdf; pages: 12
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Web page: http://129.3.20.41

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Related research
Keywords: Partial Distribution; multivariate Partial Distribution; mathematical tool; economic management;

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Find related papers by JEL classification:
C1 - Mathematical and Quantitative Methods - - Econometric and Statistical Methods: General
C2 - Mathematical and Quantitative Methods - - Single Equation Models; Single Variables
C3 - Mathematical and Quantitative Methods - - Multiple or Simultaneous Equation Models; Multiple Variables
C4 - Mathematical and Quantitative Methods - - Econometric and Statistical Methods: Special Topics
C5 - Mathematical and Quantitative Methods - - Econometric Modeling
C8 - Mathematical and Quantitative Methods - - Data Collection and Data Estimation Methodology; Computer Programs

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References listed on IDEAS
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  1. Bunch, David S & Johnson, Herb, 1992. " A Simple and Numerically Efficient Valuation Method for American Puts Using a Modified Geske-Johnson Approach," Journal of Finance, American Finance Association, vol. 47(2), pages 809-16, June. [Downloadable!] (restricted)
  2. Breeden, Douglas T., 1979. "An intertemporal asset pricing model with stochastic consumption and investment opportunities," Journal of Financial Economics, Elsevier, vol. 7(3), pages 265-296, September. [Downloadable!] (restricted)
  3. Merton, Robert C, 1973. "An Intertemporal Capital Asset Pricing Model," Econometrica, Econometric Society, vol. 41(5), pages 867-87, September. [Downloadable!] (restricted)
  4. Feng Dai & Hui Liu & Ying Wang, 2005. "Multivariate Partial Distribution: A New Method of Pricing Group Assets and Analyzing the Risk for Hedging," Econometrics 0507012, EconWPA. [Downloadable!]
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  5. Salvatore Micciche` & Giovanni Bonanno & Fabrizio Lillo & Rosario N. Mantegna, 2002. "Volatility in Financial Markets: Stochastic Models and Empirical Results," Quantitative Finance Papers cond-mat/0202527, arXiv.org. [Downloadable!]
  6. DAI & Feng QIN & Zifu, 2005. "DF Structure Models for Options Pricing," Icfai University Journal of Applied Economics, Icfai Press, vol. 0(6), pages 61-77, November.
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  7. Feng Dai & Dongkai Zhai & Zifu Qin, 2005. "The Structure Models for Futures Options Pricing and Related Researches," International Finance 0503010, EconWPA. [Downloadable!]
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  8. Black, Fischer & Scholes, Myron S, 1973. "The Pricing of Options and Corporate Liabilities," Journal of Political Economy, University of Chicago Press, vol. 81(3), pages 637-54, May-June. [Downloadable!] (restricted)
  9. Ross, Stephen A., 1976. "The arbitrage theory of capital asset pricing," Journal of Economic Theory, Elsevier, vol. 13(3), pages 341-360, December. [Downloadable!] (restricted)
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