Option pricing using variance gamma Markov chains (Q1417033)

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Option pricing using variance gamma Markov chains
scientific article

    Statements

    title
    Option pricing using variance gamma Markov chains (English)
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    author
    Mikhail Konikov
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    Dilip B. Madan
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    publication date
    18 December 2003
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    zbMATH Keywords
    Lévy processes
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    asset prices
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    characteristic function
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    Identifiers

    Mathematics Subject Classification ID
    91G20
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    91B30
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    91B84
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    zbMATH DE Number
    2019691
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    OpenAlex ID
    W1542274658
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