The variance-gamma ratio distribution

DOI10.5802/crmath.495zbMath1525.60023arXiv2302.12581OpenAlexW4387905934MaRDI QIDQ6081754

Si-Qi Li, Robert E. Gaunt

Publication date: 26 October 2023

Published in: Comptes Rendus. Mathématique. Académie des Sciences, Paris (Search for Journal in Brave)

Full work available at URL: https://arxiv.org/abs/2302.12581

zbMATH Keywords

hypergeometric functionMeijer \(G\)-functionratio distributionvariance-gamma distributionproduct of correlated normal random variables

Mathematics Subject Classification ID

Exact distribution theory in statistics (62E15) Probability distributions: general theory (60E05)

Cites Work

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• Fitting the variance-gamma model to financial data
• The Variance Gamma Process and Option Pricing
• On the Frequency Function of $xy$
• The basic distributional theory for the product of zero mean correlated normal random variables
• On the moments of the variance-gamma distribution
• A note on the distribution of the product of zero‐mean correlated normal random variables

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