OPTION PRICING IN THE VARIANCE-GAMMA MODEL UNDER THE DRIFT JUMP
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Publication:4571696
DOI10.1142/S0219024918500188zbMath1395.91449OpenAlexW2795719833MaRDI QIDQ4571696
Publication date: 29 June 2018
Published in: International Journal of Theoretical and Applied Finance (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1142/s0219024918500188
exponential distributionEuropean optionvariance-gamma processgeneralized hyperbolic functiondrift jump
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Related Items (2)
SOME PRICING TOOLS FOR THE VARIANCE GAMMA MODEL ⋮ Option pricing in time-changed Lévy models with compound Poisson jumps
Cites Work
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