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A generalized variance gamma process for financial applications
Quantitative Finance
◽
10.1080/14697688.2010.505199
◽
2012
◽
Vol 12
(1)
◽
pp. 75-87
◽
Cited By ~ 9
Author(s):
Roberto Marfè
Keyword(s):
Gamma Process
◽
Generalized Variance
◽
Variance Gamma
◽
Financial Applications
◽
Variance Gamma Process
Download Full-text
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Properties of the Variance-Gamma Process With Drift Switching Component With Financial Applications
SSRN Electronic Journal
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10.2139/ssrn.3740733
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2020
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Author(s):
Roman Ivanov
Keyword(s):
Gamma Process
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No country for old distributions? On the comparison of implied option parameters between the Brownian motion and variance gamma process
The Quarterly Review of Economics and Finance
◽
10.1016/j.qref.2021.08.004
◽
2021
◽
Author(s):
Markus Ulze
◽
Johannes Stadler
◽
Andreas.W. Rathgeber
Keyword(s):
Brownian Motion
◽
Gamma Process
◽
Variance Gamma
◽
Variance Gamma Process
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Notice of Retraction: The PIDE pricing model of interest rate swap with default risk under Variance Gamma process
2010 3rd International Conference on Computer Science and Information Technology
◽
10.1109/iccsit.2010.5564827
◽
2010
◽
Author(s):
Xiaofeng Yang
◽
Jinping Yu
◽
Shenghong Li
◽
Albert Jerry Cristoforo
Keyword(s):
Interest Rate
◽
Default Risk
◽
Gamma Process
◽
Pricing Model
◽
Variance Gamma
◽
Interest Rate Swap
◽
Variance Gamma Process
◽
Rate Swap
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Valuation of European and American Options under Variance Gamma Process
Journal of Applied Mathematics and Physics
◽
10.4236/jamp.2014.211114
◽
2014
◽
Vol 02
(11)
◽
pp. 1000-1008
◽
Cited By ~ 1
Author(s):
Ferry Jaya Permana
◽
Dharma Lesmono
◽
Erwinna Chendra
Keyword(s):
American Options
◽
Gamma Process
◽
Variance Gamma
◽
Variance Gamma Process
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Pricing and managing risks of ruin contingent life annuities under regime switching variance gamma process
Annals of Finance
◽
10.1007/s10436-013-0239-0
◽
2013
◽
Vol 10
(2)
◽
pp. 315-332
◽
Cited By ~ 3
Author(s):
Farzad Alavi Fard
◽
Ning Rong
Keyword(s):
Regime Switching
◽
Gamma Process
◽
Variance Gamma
◽
Variance Gamma Process
◽
Life Annuities
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Dirichlet Bridge Sampling for the Variance Gamma Process: Pricing Path-Dependent Options
Management Science
◽
10.1287/mnsc.1080.0953
◽
2009
◽
Vol 55
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◽
pp. 483-496
◽
Cited By ~ 13
Author(s):
Vladimir K. Kaishev
◽
Dimitrina S. Dimitrova
Keyword(s):
Gamma Process
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Variance Gamma
◽
Bridge Sampling
◽
Variance Gamma Process
◽
Path Dependent
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The Variance Gamma Process and Option Pricing
Review of Finance
◽
10.1023/a:1009703431535
◽
1998
◽
Vol 2
(1)
◽
pp. 79-105
◽
Cited By ~ 1067
Author(s):
Dilip B. Madan
◽
Peter P. Carr
◽
Eric C. Chang
Keyword(s):
Option Pricing
◽
Gamma Process
◽
Variance Gamma
◽
Variance Gamma Process
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RETRACTED ARTICLE: The distribution of the maximum of a variance gamma process and path-dependent option pricing
Finance and Stochastics
◽
10.1007/s00780-015-0277-8
◽
2015
◽
Vol 19
(4)
◽
pp. 979-993
Author(s):
Roman V. Ivanov
Keyword(s):
Option Pricing
◽
Gamma Process
◽
Variance Gamma
◽
Distribution Of The Maximum
◽
Variance Gamma Process
◽
Retracted Article
◽
Path Dependent
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Dynamic programming for valuing American options under a variance‐gamma process
Journal of Futures Markets
◽
10.1002/fut.22148
◽
2020
◽
Vol 40
(10)
◽
pp. 1548-1561
Author(s):
Hatem Ben‐Ameur
◽
Rim Chérif
◽
Bruno Rémillard
Keyword(s):
Dynamic Programming
◽
American Options
◽
Gamma Process
◽
Variance Gamma
◽
Variance Gamma Process
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Explicit representations for the expectations of exponential functionals of the multi-factor variance gamma process and their applications
Stochastics
◽
10.1080/17442508.2015.1036432
◽
2015
◽
Vol 88
(1)
◽
pp. 57-72
◽
Cited By ~ 2
Author(s):
Roman V. Ivanov
◽
Katsunori Ano
Keyword(s):
Gamma Process
◽
Variance Gamma
◽
Variance Gamma Process
◽
Explicit Representations
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