OPTION PRICING WITH VG–LIKE MODELS

DOI10.1142/S0219024908005093zbMath1175.91178OpenAlexW2120770537MaRDI QIDQ3621567

Richard Finlay, Eugene Seneta

Publication date: 21 April 2009

Published in: International Journal of Theoretical and Applied Finance (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1142/s0219024908005093

zbMATH Keywords

option pricinglong range dependencevariance gamma processstatic arbitragedifference of gamma processes

Mathematics Subject Classification ID

Financial applications of other theories (91G80) Derivative securities (option pricing, hedging, etc.) (91G20)

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Uses Software

• longmemo

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