Variance-GGC Asset Price Models and Their Sensitivity Analysis

DOI10.1007/978-3-319-30417-5_3zbMath1418.91637OpenAlexW2492002996MaRDI QIDQ4558890

Dichuan Yang, Nicolas Privault

Publication date: 30 November 2018

Published in: Springer Proceedings in Mathematics & Statistics (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1007/978-3-319-30417-5_3

zbMATH Keywords

sensitivity analysisvariance-gamma modelvariance-GGC model

Mathematics Subject Classification ID

Processes with independent increments; Lévy processes (60G51) Applications of Brownian motions and diffusion theory (population genetics, absorption problems, etc.) (60J70) Actuarial science and mathematical finance (91G99)

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Cites Work

• Generalized gamma convolutions, Dirichlet means, Thorin measures, with explicit examples
• Generalized gamma convolutions and related classes of distributions and densities
• Processes of normal inverse Gaussian type
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• The Variance Gamma Process and Option Pricing
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