Approximation of the variance gamma model with a finite mixture of normals
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Publication:419211
DOI10.1016/J.SPL.2011.10.004zbMATH Open1237.62024OpenAlexW2066707813MaRDI QIDQ419211FDOQ419211
Authors: Angela Loregian, Edit Rroji, Lorenzo Mercuri 
Publication date: 18 May 2012
Published in: Statistics \& Probability Letters (Search for Journal in Brave)
Full work available at URL: http://hdl.handle.net/10281/21102
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Cites Work
- Large Sample Properties of Generalized Method of Moments Estimators
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- Finite mixture models
- On the convergence properties of the EM algorithm
- Finite mixture and Markov switching models.
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- The Variance Gamma Process and Option Pricing
- Fitting the variance-gamma model to financial data
- An EM type algorithm for maximum likelihood estimation of the normal-inverse Gaussian distribution
- Skewed Normal Variance‐Mean Models for Asset Pricing and the Method of Moments
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- Towards a \(\Delta\)-Gamma Sato multivariate model
- Some pricing tools for the variance gamma model
- Contaminated variance-mean mixing model
- Inference procedures for the variance gamma model and applications
- Closed-form option pricing for exponential Lévy models: a residue approach
- Normal-\(\text{GIG}\left(\frac{3}{2},\delta,\gamma \right)\) mixture with application to financial data
- Wasserstein and Kolmogorov error bounds for variance-gamma approximation via Stein's method. I
- Mixed tempered stable distribution
- Additivity of variance gamma distribution and its application in financial analysis
- Finite mixtures of unimodal beta and gamma densities and the \(k\)-bumps algorithm
- Implementation of Lévy CARMA model in \texttt{yuima} package
- Finite mixture approximation of CARMA(p,q) models
- Consistency of the MLE under a two-parameter gamma mixture model with a structural shape parameter
- Risk parity for mixed tempered stable distributed sources of risk
- Lévy CARMA models for shocks in mortality
- Likelihood-based risk estimation for variance-gamma models
- An efficient unified approach for spread option pricing in a copula market model
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