Explicit representations for the expectations of exponential functionals of the multi-factor variance gamma process and their applications

DOI10.1080/17442508.2015.1036432zbMATH Open1337.60091OpenAlexW2320815100MaRDI QIDQ2803412FDOQ2803412

Authors: Roman Ivanov, Katsunori Ano 

Publication date: 4 May 2016

Published in: Stochastics (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1080/17442508.2015.1036432

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zbMATH Keywords

hypergeometric functionoption pricingexponential functionalanalytical expressionmulti-factor variance gamma processLévy processes

Mathematics Subject Classification ID

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

Cites Work

• The distribution of the sum of independent gamma random variables
• The Variance Gamma Process and Option Pricing
• Title not available (Why is that?)
• Option Pricing With V. G. Martingale Components¹
• Martingale methods in financial modelling.
• On the range of options prices
• A MULTIVARIATE VARIANCE GAMMA MODEL FOR FINANCIAL APPLICATIONS
• On predicting the ultimate maximum for exponential Lévy processes
• On American Options Under the Variance Gamma Process
• Monte Carlo methods and models in finance and insurance.
• Closed Form Pricing of European Options for a Family of Normal-Inverse Gaussian Processes
• Multivariate time changes for Lévy asset models: characterization and calibration
• Stationary-increment Student and variance-gamma processes
• The \(\beta \)-variance gamma model
• The \(\alpha\)VG model for multivariate asset pricing: calibration and extension

Cited In (3)

• Option pricing in the variance-gamma model under the drift jump
• On computing the price of financial instruments in foreign currency
• On the conditional moment-generating function of a three-factor variance gammas based process and its applications to forward and futures pricing

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