Fitting the variance-gamma model to financial data

DOI10.1239/jap/1082552198zbMath1058.91043OpenAlexW1978211602MaRDI QIDQ4822460

Eugene Seneta

Publication date: 25 October 2004

Published in: Journal of Applied Probability (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1239/jap/1082552198

zbMATH Keywords

method of momentslog returnstesting for goodness of fitfractal activity time geometric Brownian motion

Mathematics Subject Classification ID

Infinitely divisible distributions; stable distributions (60E07) Gaussian processes (60G15) Applications of statistics to actuarial sciences and financial mathematics (62P05) Statistical methods; risk measures (91G70) Markov processes: estimation; hidden Markov models (62M05) Characteristic functions; other transforms (60E10)

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Cites Work

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• On the controversy over tailweight of distributions.
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• Option Pricing With V. G. Martingale Components¹
• A proof of the conjecture on positive skewness of generalised inverse Gaussian distributions
• Simulation of Estimates Using the Empirical Characteristic Function
• The Variance Gamma Process and Option Pricing
• A risky asset model with strong dependence through fractal activity time
• Student processes

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