Explicit representations for the expectations of exponential functionals of the multi-factor variance gamma process and their applications

DOI10.1080/17442508.2015.1036432zbMath1337.60091OpenAlexW2320815100MaRDI QIDQ2803412

Katsunori Ano, Roman V. Ivanov

Publication date: 4 May 2016

Published in: Stochastics (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1080/17442508.2015.1036432

zbMATH Keywords

Lévy processesoption pricinghypergeometric functionexponential functionalanalytical expressionmulti-factor variance gamma process

Mathematics Subject Classification ID

Processes with independent increments; Lévy processes (60G51) Financial applications of other theories (91G80) Derivative securities (option pricing, hedging, etc.) (91G20)

Related Items (2)

OPTION PRICING IN THE VARIANCE-GAMMA MODEL UNDER THE DRIFT JUMP ⋮ On computing the price of financial instruments in foreign currency

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• On American Options Under the Variance Gamma Process
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• Closed Form Pricing of European Options for a Family of Normal-Inverse Gaussian Processes

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