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Q2971286 - MaRDI portal

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    Statements

    author
    Roman V. Ivanov
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    Grigory Temnov
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    publication date
    4 April 2017
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    zbMATH Keywords
    variance gamma process
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    diffusion processes
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    Ornstein-Uhlenbeck process
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    forward pricing
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    futures pricing
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    moment-generating function
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    stochastic interest rate
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    Identifiers

    Mathematics Subject Classification ID
    60J60
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    60J75
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    60J25
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    60E10
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    91G80
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    zbMATH DE Number
    6700654
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