OPTION PRICING IN THE VARIANCE-GAMMA MODEL UNDER THE DRIFT JUMP (Q4571696)
From MaRDI portal
scientific article; zbMATH DE number 6897608
| Language | Label | Description | Also known as |
|---|---|---|---|
| English | OPTION PRICING IN THE VARIANCE-GAMMA MODEL UNDER THE DRIFT JUMP |
scientific article; zbMATH DE number 6897608 |
Statements
OPTION PRICING IN THE VARIANCE-GAMMA MODEL UNDER THE DRIFT JUMP (English)
0 references
29 June 2018
0 references
European option
0 references
variance-gamma process
0 references
drift jump
0 references
exponential distribution
0 references
generalized hyperbolic function
0 references
