Option pricing using variance gamma Markov chains

DOI10.1023/A:1013816400834zbMath1064.91044OpenAlexW1542274658MaRDI QIDQ1417033

Mikhail Konikov, Dilip B. Madan

Publication date: 18 December 2003

Published in: Review of Derivatives Research (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1023/a:1013816400834

zbMATH Keywords

Lévy processescharacteristic functionasset prices

Mathematics Subject Classification ID

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