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The Variance Gamma Process and Option Pricing - MaRDI portal

The Variance Gamma Process and Option Pricing (Q4939318)

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scientific article; zbMATH DE number 1406327
Language Label Description Also known as
English
The Variance Gamma Process and Option Pricing
scientific article; zbMATH DE number 1406327

    Statements

    title
    The Variance Gamma Process and Option Pricing (English)
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    author
    Dilip B. Madan
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    Peter Carr
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    Eric C. Chang
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    publication date
    1998
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    zbMATH Keywords
    variance gamma process
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    Brownian motion
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    pricing
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    Identifiers

    zbMATH DE Number
    1406327
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    OpenAlex ID
    W2100190417
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