LOCALLY RISK-NEUTRAL VALUATION OF OPTIONS IN GARCH MODELS BASED ON VARIANCE-GAMMA PROCESS (Q2882691): Difference between revisions

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+The Pricing of Options and Corporate Liabilities
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+Stochastic Volatility for Lévy Processes
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+Option pricing: A simplified approach
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+THE GARCH OPTION PRICING MODEL
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+APPROXIMATING GARCH‐JUMP MODELS, JUMP‐DIFFUSION PROCESSES, AND OPTION PRICING
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+Stationary-increment Student and variance-gamma processes
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+OPTION PRICING WITH VG–LIKE MODELS
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+Martingales and arbitrage in multiperiod securities markets
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+Martingales and stochastic integrals in the theory of continuous trading
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+Option pricing using variance gamma Markov chains
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+Option Pricing With V. G. Martingale Components<sup>1</sup>
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+The Variance Gamma Process and Option Pricing
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+Option pricing when underlying stock returns are discontinuous
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+Processes that can be embedded in Brownian motion
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