OPTION PRICING IN THE VARIANCE-GAMMA MODEL UNDER THE DRIFT JUMP (Q4571696): Difference between revisions

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+On American Options Under the Variance Gamma Process
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+Credit risk: Modelling, valuation and hedging
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+Multivariate subordination using generalised gamma convolutions with applications to variance gamma processes and option pricing
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+Malliavin-Stein method for variance-gamma approximation on Wiener space
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+Stationary-increment Student and variance-gamma processes
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+Q3671491
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+The \(\alpha\)VG model for multivariate asset pricing: calibration and extension
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+On risk measuring in the variance-gamma model
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+Explicit representations for the expectations of exponential functionals of the multi-factor variance gamma process and their applications
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+On exact pricing of FX options in multivariate time-changed Lévy models
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+Q2971286
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+Monte Carlo Methods and Models in Finance and Insurance
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+The multivariate Variance Gamma model: basket option pricing and calibration
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+Dependence calibration and portfolio fit with factor-based subordinators
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+A multivariate jump-driven financial asset model
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+Multivariate time changes for Lévy asset models: characterization and calibration
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+The Variance Gamma Process and Option Pricing
@@ Property / cites work: The Variance Gamma Process and Option Pricing / rank @@
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+Option Pricing With V. G. Martingale Components<sup>1</sup>
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+A MULTIVARIATE VARIANCE GAMMA MODEL FOR FINANCIAL APPLICATIONS
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+Q5506180
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+https://doi.org/10.1142/s0219024918500188
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+W2795719833
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+Publication:4571696