The Variance Gamma Process and Option Pricing
From MaRDI portal
Recommendations
Cited in
(only showing first 100 items - show all)- Analytical valuation of catastrophe equity options with negative exponential jumps
- Subordination, self-similarity, and option pricing
- Analysis of quadrature methods for pricing discrete barrier options
- Multiple priors and asset pricing
- Sensitivity analysis for averaged asset price dynamics with gamma processes
- On the functional estimation of jump-diffusion models.
- Option pricing using variance gamma Markov chains
- Asymmetric Laplace laws and modeling financial data
- Compound Cox processes and option pricing
- Stochastic calculus for assets with non-Gaussian price fluctuations
- Option pricing from path integral for non-Gaussian fluctuations. Natural martingale and application to truncated Lèvy distributions
- Pricing foreign equity option with stochastic volatility
- Option pricing for stochastic volatility model with infinite activity Lévy jumps
- On the source of stochastic volatility: evidence from CAC40 index options during the subprime crisis
- American option valuation under time changed tempered stable Lévy processes
- Volatility smile as relativistic effect
- A general framework for time-changed Markov processes and applications
- An importance sampling-based smoothing approach for quasi-Monte Carlo simulation of discrete barrier options
- Market-reaction-adjusted optimal central bank intervention policy in a forex market with jumps
- Gram-Charlier processes and applications to option pricing
- Selfdecomposability and selfsimilarity: a concise primer
- Optimal hedging via large deviation
- On risk measuring in the variance-gamma model
- Discrete hedging in the mean/variance model for European call options
- Valuation of variable long-term care annuities with guaranteed lifetime withdrawal benefits: a variance reduction approach
- Estimation of Lévy-driven Ornstein-Uhlenbeck processes: application to modeling of \(\mathrm{CO}_2\) and fuel-switching
- Sensitivity analysis of mixed tempered stable parameters with implications in portfolio optimization
- Stable Lévy process delayed by tempered stable subordinator
- A modified Black-Scholes pricing formula for European options with bounded underlying prices
- A note on the hedging of options by Malliavin calculus in a jump-diffusion market
- Regime-switching temperature dynamics model for weather derivatives
- Quantile function expansion using regularly varying functions
- Optimum thresholding using mean and conditional mean squared error
- Likelihood-based risk estimation for variance-gamma models
- Multivariate FX models with jumps: triangles, quantos and implied correlation
- Unconditional positive stable numerical solution of partial integrodifferential option pricing problems
- On the relationship between the generalized Student \(t\)-distribution and the variance gamma distribution in statistical analysis of random-size samples
- Operator geometric stable laws
- Type \(G\) and spherical distributions on \(\mathbb R^d\)
- Codifference as a practical tool to measure interdependence
- A note on the never-early-exercise region of American power exchange options
- On computing the price of financial instruments in foreign currency
- Barrier options and touch-and-out options under regular Lévy processes of exponential type
- Applications of the characteristic function-based continuum GMM in finance
- A spectral estimation of tempered stable stochastic volatility models and option pricing
- Integrating delta: an intuitive single-integral approach to pricing European options on diverse stochastic processes
- An efficient algorithm for Bermudan barrier option pricing
- Factor models for option pricing
- Test for autocorrelation change in discretely observed Ornstein-Uhlenbeck processes driven by Lévy processes
- A finite difference scheme for pricing American put options under Kou's jump-diffusion model
- A fast Fourier transform technique for pricing European options with stochastic volatility and jump risk
- Extracting market information from equity options with exponential Lévy processes
- Convertible bond pricing with partial integro-differential equation model
- A bound on the Wasserstein-2 distance between linear combinations of independent random variables
- Positive solutions of European option pricing with CGMY process models using double discretization difference schemes
- Asset pricing theory for two price economies
- Lewis model revisited: option pricing with Lévy processes
- Conformal accelerations method and efficient evaluation of stable distributions
- General multilevel Monte Carlo methods for pricing discretely monitored Asian options
- A penalty scheme and policy iteration for nonlocal HJB variational inequalities with monotone nonlinearities
- Bounds for an integral of the modified Bessel function of the first kind and expressions involving it
- Lévy-Ito models in finance
- The value of power-related options under spectrally negative Lévy processes
- Default and prepayment options pricing and default probability valuation under VG model
- Option valuation under the VG process by a DG method.
- Model risk in the over-the-counter market
- Smiles \& smirks: volatility and leverage by jumps
- Precise option pricing by the COS method -- how to choose the truncation range
- The logarithmic Schrödinger operator and associated Dirichlet problems
- Implied price processes anchored in statistical realizations
- High dimensional Markovian trading of a single stock
- On the exact distribution of the difference between two chi-square variables
- Transient numerical approximation of hyperbolic diffusions and beyond
- On lower partial moments for the investment portfolio with variance-gamma distributed returns
- Optimal variance-Gamma approximation on the second Wiener chaos
- Multigrid method for pricing European options under the CGMY process
- Pricing various types of mortgage insurances with disposal and discount costs under a mean-reverting Lévy housing price process
- Calibration for multivariate Lévy-driven Ornstein-Uhlenbeck processes with applications to weak subordination
- Quasi-Monte Carlo simulation for American option sensitivities
- Pricing foreign equity option under stochastic volatility tempered stable Lévy processes
- On the role of skewness and kurtosis in tempered stable (CGMY) Lévy models in finance
- Linnik Lévy process and some extensions
- Financial modelling applying multivariate Lévy processes: new insights into estimation and simulation
- A multidimensional Hilbert transform approach for barrier option pricing and survival probability calculation
- Geometric step options and Lévy models: duality, pides, and semi-analytical pricing
- Calibration for weak variance-alpha-gamma processes
- Early exercise boundaries for American-style knock-out options
- An analysis of dollar cost averaging and market timing investment strategies
- A regime switching fractional Black-Scholes model and European option pricing
- Option pricing under finite moment log stable process in a regulated market: a generalized fractional path integral formulation and Monte Carlo based simulation
- On bounds for the mode and median of the generalized hyperbolic and related distributions
- ECM algorithm for auto-regressive multivariate skewed variance gamma model with unbounded density
- On solutions of a partial integro-differential equation in Bessel potential spaces with applications in option pricing models
- Equity-linked guaranteed minimum death benefits with dollar cost averaging
- Additive logistic processes in option pricing
- Correlated squared returns
- Pricing discretely monitored barrier options: when Malliavin calculus expansions meet Hilbert transforms
- Infinitely divisible multivariate and matrix gamma distributions
- Equilibrium approach of asset pricing under Lévy process
- Application of homotopy analysis method to option pricing under Lévy processes
This page was built for publication: The Variance Gamma Process and Option Pricing
Report a bug (only for logged in users!)Click here to report a bug for this page (MaRDI item Q4939318)
