scientific article; zbMATH DE number 5499190

zbMATH Open1161.60300MaRDI QIDQ5506180FDOQ5506180

Authors Eugene Seneta

Publication date 28 January 2009

zbMATH Keywords

compound Poisson lawcharacteristic function estimationindependent and stationary incrementslog-price incrementsVariance Gamma process

Mathematics Subject Classification ID

Processes with independent increments; Lévy processes (60G51) Point estimation (62F10) History of mathematics in the 20th century (01A60) History of probability theory (60-03)

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Cited in

(2)

• Modelling and estimation for bivariate financial returns
• Option pricing in the variance-gamma model under the drift jump

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