Financial activity time

DOI10.3934/FMF.2023016MaRDI QIDQ6147107zbMATH OpenOpenAlexFDO

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

Publication date 15 January 2024

Published in Frontiers of Mathematical Finance (Search for Journal in Brave)

Full work available at URL https://doi.org/10.3934/fmf.2023016

zbMATH Keywords

bilateral gammaCGMY modelHermite functionSato process

Mathematics Subject Classification ID

Self-similar stochastic processes (60G18) Processes with independent increments; Lévy processes (60G51) Financial markets (91G15)

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Cites work

• A closed-form solution for options with stochastic volatility with applications to bond and currency options
• A jump-diffusion model for option pricing
• Bilateral gamma distributions and processes in financial mathematics
• scientific article; zbMATH DE number 1639859 (Why is no real title available?)
• scientific article; zbMATH DE number 1724296 (Why is no real title available?)
• Infinitely Divisible Laws Associated with Hyperbolic Functions
• Lévy processes, polynomials and martingales
• Markov-Komposition und eine Anwendung auf Martingale. (Markov compositions and an application to martingales)
• Processes of normal inverse Gaussian type
• SELF-DECOMPOSABILITY AND OPTION PRICING
• Self-similar processes with independent increments
• Stochastic Volatility for Lévy Processes
• THE RANGE OF TRADED OPTION PRICES
• The Variance Gamma Process and Option Pricing

Cited in

(1)

• The bilateral Gamma motion: calibration and option pricing

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