Explicit representations for the expectations of exponential functionals of the multi-factor variance gamma process and their applications (Q2803412)
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scientific article; zbMATH DE number 6577496
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| English | Explicit representations for the expectations of exponential functionals of the multi-factor variance gamma process and their applications |
scientific article; zbMATH DE number 6577496 |
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Explicit representations for the expectations of exponential functionals of the multi-factor variance gamma process and their applications (English)
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4 May 2016
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Lévy processes
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multi-factor variance gamma process
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analytical expression
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exponential functional
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hypergeometric function
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option pricing
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0.7599169015884399
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0.7594500780105591
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0.759083092212677
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0.7482576370239258
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0.7447991967201233
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