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Asset Prices With Regime-Switching Variance Gamma Dynamics - MaRDI portal

Asset Prices With Regime-Switching Variance Gamma Dynamics (Q3631201)

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scientific article
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English
Asset Prices With Regime-Switching Variance Gamma Dynamics
scientific article

    Statements

    title
    Asset Prices With Regime-Switching Variance Gamma Dynamics (English)
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    author
    A. Royal
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    Robert J. Elliott
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    publication date
    5 June 2009
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    zbMATH Keywords
    asset pricing
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    Lévy process
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    Markov chain
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    gamma process
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    VG process
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    Identifiers

    Mathematics Subject Classification ID
    91B25
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    91G80
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    60G51
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    91G20
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    91G70
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    zbMATH DE Number
    5562319
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