A generalized variance gamma process for financial applications

DOI10.1080/14697688.2010.505199MaRDI QIDQ2893076zbMATH OpenOpenAlexFDO

Authors Roberto Marfè

Publication date 25 June 2012

Published in Quantitative Finance (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1080/14697688.2010.505199

zbMATH Keywords

correlationdependenceLévy processesmultivariate asset pricingmultivariate subordinatorsvariance gamma

Mathematics Subject Classification ID

Processes with independent increments; Lévy processes (60G51) Measures of association (correlation, canonical correlation, etc.) (62H20) Derivative securities (option pricing, hedging, etc.) (91G20) Financial applications of other theories (91G80)

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Cites work

• A generalized normal mean-variance mixture for return processes in finance
• A multivariate jump-driven financial asset model
• A multivariate Lévy process model with linear correlation
• A MULTIVARIATE VARIANCE GAMMA MODEL FOR FINANCIAL APPLICATIONS
• Characterization of dependence of multidimensional Lévy processes using Lévy copulas
• Fourier space time-stepping for option pricing with Lévy models
• scientific article; zbMATH DE number 1402217 (Why is no real title available?)
• Multivariate subordination, self-decomposability and stability
• Multivariate time changes for Lévy asset models: characterization and calibration
• OPTION PRICING WITH VG–LIKE MODELS
• Pricing and Hedging Spread Options
• Processes of normal inverse Gaussian type
• Stationary-increment Student and variance-gamma processes
• Stochastic Volatility for Lévy Processes
• The Variance Gamma Process and Option Pricing
• Time changes for Lévy processes

Cited in

(21)

• Calibration for weak variance-alpha-gamma processes
• Hypotheses tests on the skewness parameter in a multivariate generalized hyperbolic distribution
• Optimal demand in a mispriced asymmetric Carr-Geman-Madan-Yor (CGMY) economy
• Multivariate subordination using generalised gamma convolutions with applications to variance gamma processes and option pricing
• The \(\alpha\)VG model for multivariate asset pricing: calibration and extension
• Dimension reduction for pricing options under multidimensional Lévy processes
• Multivariate skew-normal generalized hyperbolic distribution and its properties
• Calibrating the smile with multivariate time-changed Brownian motion and the Esscher transform
• Multivariate jump arrivals: The variance gamma case
• A multivariate pure-jump model with multi-factorial dependence structure
• MCMC ESTIMATION OF LÉVY JUMP MODELS USING STOCK AND OPTION PRICES
• A multivariate jump-driven financial asset model
• A MULTIVARIATE VARIANCE GAMMA MODEL FOR FINANCIAL APPLICATIONS
• Multivariate factor-based processes with Sato margins
• Fitting the variance-gamma model to financial data
• Lévy processes induced by Dirichlet (B-)splines: modeling multivariate asset price dynamics
• The Variance Gamma Process and Option Pricing
• Building multivariate Sato models with linear dependence
• Multivariate Lévy processes with dependent jump intensity
• scientific article; zbMATH DE number 5499190 (Why is no real title available?)
• A welcome to the jungle of continuous-time multivariate non-Gaussian models based on Lévy processes applied to finance

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