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Pricing with Variance Gamma Information - MaRDI portal

Pricing with Variance Gamma Information (Q5072629)

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scientific article; zbMATH DE number 7516352
Language Label Description Also known as
English
Pricing with Variance Gamma Information
scientific article; zbMATH DE number 7516352

    Statements

    title
    Pricing with Variance Gamma Information (English)
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    publication date
    29 April 2022
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    zbMATH Keywords
    information-based asset pricing
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    Lévy processes
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    gamma processes
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    variance gamma processes
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    Brownian bridges
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    gamma bridges
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    nonlinear filtering
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    Identifiers

    Mathematics Subject Classification ID
    91G30
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    91G20
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    91G40
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    60G51
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    zbMATH DE Number
    7516352
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    OpenAlex ID
    W4214552375
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    arXiv ID
    2003.07967
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