Deep variance gamma processes
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Publication:6548827
DOI10.1002/STA4.580MaRDI QIDQ6548827FDOQ6548827
William Kleiber, Caitlin M. Berry
Publication date: 3 June 2024
Published in: Stat (Search for Journal in Brave)
Cites Work
- Empirical Characteristic Function Estimation and Its Applications
- Financial Modelling with Jump Processes
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- The Variance Gamma Process and Option Pricing
- Impact of jumps on returns and realised variances: econometric analysis of time-deformed Lévy processes
- Sieve-based confidence intervals and bands for Lévy densities
- Nonparametric estimation for Lévy models based on discrete-sampling
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- Multiple subordinated modeling of asset returns: Implications for option pricing
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