Variance Gamma process and option pricing

zbMATH Open1141.60347MaRDI QIDQ5452877FDOQ5452877

Authors: Lijin du, Ji-Chun Liu 

Publication date: 4 April 2008

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zbMATH Keywords

option pricingpure jumpVariance Gamma pricing

Mathematics Subject Classification ID

Derivative securities (option pricing, hedging, etc.) (91G20) Random measures (60G57)

Cited In (14)

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• An approximate Malliavin weight for variance gamma process: sensitivity analysis of European style options
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• 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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• Title not available (Why is that?)
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