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

DOI10.1080/17442508.2015.1036432MaRDI QIDQ2803412zbMATH OpenOpenAlexFDO

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

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)

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Cites work

• scientific article; zbMATH DE number 3107995 (Why is no real title available?)
• A MULTIVARIATE VARIANCE GAMMA MODEL FOR FINANCIAL APPLICATIONS
• Closed Form Pricing of European Options for a Family of Normal-Inverse Gaussian Processes
• Martingale methods in financial modelling.
• Monte Carlo methods and models in finance and insurance.
• Multivariate time changes for Lévy asset models: characterization and calibration
• On American Options Under the Variance Gamma Process
• On predicting the ultimate maximum for exponential Lévy processes
• On the range of options prices
• Option Pricing With V. G. Martingale Components¹
• Stationary-increment Student and variance-gamma processes
• The Variance Gamma Process and Option Pricing
• The \(\alpha\)VG model for multivariate asset pricing: calibration and extension
• The \(\beta \)-variance gamma model
• The distribution of the sum of independent gamma random variables

Cited in

(3)

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

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