Bilateral gamma distributions and processes in financial mathematics

DOI10.1016/j.spa.2007.04.006zbMath1133.62089arXiv1907.09857OpenAlexW2040251506MaRDI QIDQ2469499

Publication date: 6 February 2008

Published in: Stochastic Processes and their Applications (Search for Journal in Brave)

Full work available at URL: https://arxiv.org/abs/1907.09857

zbMATH Keywords

option pricing term structure models bilateral gamma processes measure transformations stock models

Mathematics Subject Classification ID

Processes with independent increments; Lévy processes (60G51) Applications of statistics to actuarial sciences and financial mathematics (62P05) Markov processes: estimation; hidden Markov models (62M05) Characteristic functions; other transforms (60E10)

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