SOME PRICING TOOLS FOR THE VARIANCE GAMMA MODEL
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Publication:3304214
DOI10.1142/S0219024920500259zbMath1448.91289arXiv1912.06031MaRDI QIDQ3304214
Publication date: 5 August 2020
Published in: International Journal of Theoretical and Applied Finance (Search for Journal in Brave)
Full work available at URL: https://arxiv.org/abs/1912.06031
Processes with independent increments; Lévy processes (60G51) Derivative securities (option pricing, hedging, etc.) (91G20)
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