Additive processes with bilateral gamma marginals

DOI10.1080/1350486X.2020.1779597MaRDI QIDQ5149265zbMATH OpenOpenAlexFDO

Authors Dilip B. Madan, K.-H. Wang

Publication date 8 February 2021

Published in Applied Mathematical Finance (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1080/1350486x.2020.1779597

zbMATH Keywords

bilateral gammaSato processself decomposable laws

Mathematics Subject Classification ID

Derivative securities (option pricing, hedging, etc.) (91G20)

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Cites work

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• scientific article; zbMATH DE number 1724296 (Why is no real title available?)
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• scientific article; zbMATH DE number 3025555 (Why is no real title available?)
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• Option Pricing in Stochastic Volatility Models of the Ornstein‐Uhlenbeck type
• Option pricing using variance gamma Markov chains
• Option pricing when underlying stock returns are discontinuous
• Post-'87 crash fears in the S\&P 500 futures option market
• Processes of normal inverse Gaussian type
• SELF-DECOMPOSABILITY AND OPTION PRICING
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• Self-similar processes with independent increments associated with Lévy and Bessel processes.
• Stochastic Volatility for Lévy Processes
• The pricing of options and corporate liabilities
• THE RANGE OF TRADED OPTION PRICES
• The Variance Gamma Process and Option Pricing

Cited in

(14)

• On lower partial moments for the investment portfolio with variance-gamma distributed returns
• The behavioral implications of the bilateral gamma process
• Additive logistic processes in option pricing
• The S\&P 500 index as a Sato process travelling at the speed of the VIX
• Sato processes in default modelling
• Sato processes and the valuation of structured products
• Option implied VIX, skew and kurtosis term structures
• A fast Monte Carlo scheme for additive processes and option pricing
• The economics of time as it is embedded in the prices of options§
• The bilateral Gamma motion: calibration and option pricing
• Short Option Maturity Term Structures of Skewness and Excess Kurtosis*
• W-shaped implied volatility curves in a variance-gamma mixture model
• A large class of bilateral distributions for financial applications
• Explicit option pricing with additive processes

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