Option pricing under a gamma-modulated diffusion process (Q645515)

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Option pricing under a gamma-modulated diffusion process
scientific article

    Statements

    title
    Option pricing under a gamma-modulated diffusion process (English)
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    author
    Jaime San Martín
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    Soledad Torres
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    Pilar L. Iglesias
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    Frederi G. Viens
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    publication date
    15 November 2011
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    zbMATH Keywords
    option pricing
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    gamma process
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    long memory
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    Identifiers

    Mathematics Subject Classification ID
    91G20
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    91G80
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    91G70
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    62F15
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    zbMATH DE Number
    5972048
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    OpenAlex ID
    W2069453621
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    Wikidata QID
    Q105583467
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