The Variance Gamma Process and Option Pricing
From MaRDI portal
Recommendations
Cited in
(only showing first 100 items - show all)- Multivariate skew-normal generalized hyperbolic distribution and its properties
- Merton's portfolio optimization problem in a Black and Scholes market with non‐Gaussian stochastic volatility of Ornstein‐Uhlenbeck type
- Using computational methodology to price European options with actual payoff distributions
- Option Pricing in Stochastic Volatility Models of the Ornstein‐Uhlenbeck type
- Methods for the rapid solution of the pricing PIDEs in exponential and Merton models
- A risky asset model based on Lévy processes and asymptotically self-similar activity time processes with long-range dependence
- Lookback option pricing using the Fourier transform B-spline method
- One-dimensional distributions of subordinators with upper truncated Lévy measure, and applications
- Filtering response directions
- High-performance computation of pricing two-asset American options under the Merton jump-diffusion model on a GPU
- Minimal relative entropy for equivalent martingale measures by low-discrepancy sequence in Lévy process
- Multifrequency jump-diffusions: An equilibrium approach
- Option pricing under finite moment log stable process in a regulated market: a generalized fractional path integral formulation and Monte Carlo based simulation
- A high order finite difference method for tempered fractional diffusion equations with applications to the CGMY model
- A bound on the Wasserstein-2 distance between linear combinations of independent random variables
- SELF-DECOMPOSABILITY AND OPTION PRICING
- Asymmetric Laplace laws and modeling financial data
- On the cumulant transforms for Hawkes processes
- An alternative form to calibrate the correlated Stein-Stein option pricing model
- Analytical valuation of catastrophe equity options with negative exponential jumps
- Indifference Pricing in a Market with Transaction Costs and Jumps
- The logarithmic Schrödinger operator and associated Dirichlet problems
- Greeks formulas for an asset price model with gamma processes
- THE PRICING OF EXOTIC OPTIONS BY MONTE–CARLO SIMULATIONS IN A LÉVY MARKET WITH STOCHASTIC VOLATILITY
- Variance-optimal hedging for processes with stationary independent increments
- Unbounded liabilities, capital reserve requirements and the taxpayer put option
- Locally risk-neutral valuation of options in GARCH models based on variance-gamma process
- A multivariate Lévy process model with linear correlation
- PRICING AUSTRALIAN S&P200 OPTIONS: A BAYESIAN APPROACH BASED ON GENERALIZED DISTRIBUTIONAL FORMS
- Conic quantization: stochastic volatility and market implied liquidity
- Capital structure and risk acceptability
- Coherent risk measures and normal mixture distributions with applications in portfolio optimization
- A two-state jump model
- Sensitivity analysis of mixed tempered stable parameters with implications in portfolio optimization
- Pricing vulnerable claims in a Lévy-driven model
- Optimal spot slides
- Small-time moment asymptotics for Lévy processes
- Integrability of multivariate subordinated Lévy processes in Hilbert space
- CONIC TRADING IN A MARKOVIAN STEADY STATE
- A pricing model of airbag options with discrete monitoring
- Modeling high-frequency non-homogeneous order flows by compound Cox processes
- Using model-independent lower bounds to improve pricing of Asian style options in Lévy markets
- A structural approach to default modelling with pure jump processes
- Characterization of dependence of multidimensional Lévy processes using Lévy copulas
- PSEUDODIFFUSIONS AND QUADRATIC TERM STRUCTURE MODELS
- Saddlepoint approximations for continuous-time Markov processes
- Asymptotic behavior and calibration of short-time option prices under the normal tempered stable model
- The variance-gamma distribution: a review
- Transient numerical approximation of hyperbolic diffusions and beyond
- Option pricing and hedging in incomplete market driven by normal tempered stable process with stochastic volatility
- Equilibrium effects of intraday order-splitting benchmarks
- An efficient acceleration Monte Carlo simulation for pricing Asian option under variance gamma process by splitting
- Codifference as a practical tool to measure interdependence
- ON THE ASYMPTOTICS OF FAST MEAN-REVERSION STOCHASTIC VOLATILITY MODELS
- A semi-parametric approach to risk management
- Risky asset models with tempered stable fractal activity time
- PRICING DISCRETELY MONITORED BARRIER OPTIONS AND DEFAULTABLE BONDS IN LÉVY PROCESS MODELS: A FAST HILBERT TRANSFORM APPROACH
- Central limit theorems for martingales-II: convergence in the weak dual topology
- Extracting market information from equity options with exponential Lévy processes
- Delay geometric Brownian motion in financial option valuation
- On valuing stochastic perpetuities using new long horizon stock price models distinguishing booms, busts, and balanced markets
- Compound Cox processes and option pricing
- Additive processes with bilateral gamma marginals
- Equity quantile upper and lower swaps
- The times change: multivariate subordination. Empirical facts
- How to make Dupire's local volatility work with jumps
- Pricing CDO tranches in an intensity based model with the mean reversion approach
- 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
- Option pricing by mean correcting method for non-Gaussian Lévy processes
- Adaptive Monte Carlo variance reduction for Lévy processes with two-time-scale stochastic approximation
- Asymptotics of implied volatility to arbitrary order
- Two price economies in continuous time
- Susceptible-infected-recovered model with stochastic transmission
- Determination of the Lévy exponent in asset pricing models
- A subordinated Markov model for stochastic mortality
- Generative Bayesian neural network model for risk-neutral pricing of American index options
- On parameter estimation of Heston's stochastic volatility model: a polynomial filtering method
- Fractional normal inverse Gaussian process
- Optimal demand in a mispriced asymmetric Carr-Geman-Madan-Yor (CGMY) economy
- Infinitely divisible multivariate and matrix gamma distributions
- A class of Lévy process models with almost exact calibration to both barrier and vanilla FX options
- A FORWARD LOOKING, SINGULAR PERTURBATION APPROACH TO PRICING OPTIONS UNDER MARKET UNCERTAINTY AND TRADING NOISE
- Equilibrium preference free pricing of derivatives under the generalized beta distributions
- Tracking errors from discrete hedging in exponential Lévy models
- Affordable and adequate annuities with stable payouts: fantasy or reality?
- Rational term structure models with geometric Lévy martingales
- Efficient pricing of ratchet equity indexed annuities in a Variance-Gamma economy
- Option surface statistics with applications
- Pricing early-exercise and discrete barrier options by Fourier-cosine series expansions
- On the inverse gamma subordinator
- Some pricing tools for the variance gamma model
- Regime-switching temperature dynamics model for weather derivatives
- Quantile function expansion using regularly varying functions
- A general method for analysis and valuation of drawdown risk
- Asymptotics of Implied Volatility far from Maturity
- Multivariate subordination using generalised gamma convolutions with applications to variance gamma processes and option pricing
- Approximation of the variance gamma model with a finite mixture of normals
- Jump tail dependence in Lévy copula models
- Optimal variance-Gamma approximation on the second Wiener chaos
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)