OPTION PRICING IN THE VARIANCE-GAMMA MODEL UNDER THE DRIFT JUMP (Q4571696): Difference between revisions
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Revision as of 16:25, 5 March 2024
scientific article; zbMATH DE number 6897608
| Language | Label | Description | Also known as |
|---|---|---|---|
| English | OPTION PRICING IN THE VARIANCE-GAMMA MODEL UNDER THE DRIFT JUMP |
scientific article; zbMATH DE number 6897608 |
Statements
OPTION PRICING IN THE VARIANCE-GAMMA MODEL UNDER THE DRIFT JUMP (English)
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29 June 2018
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European option
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variance-gamma process
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drift jump
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exponential distribution
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generalized hyperbolic function
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