On the moments of the variance-gamma distribution

DOI10.1016/j.spl.2023.109884zbMath1522.60026arXiv2209.07767OpenAlexW4379741757MaRDI QIDQ6178685

Robert E. Gaunt

Publication date: 4 September 2023

Published in: Statistics \& Probability Letters (Search for Journal in Brave)

Full work available at URL: https://arxiv.org/abs/2209.07767

zbMATH Keywords

momenthypergeometric functionabsolute momentvariance-gamma distributionproduct of correlated normal random variables

Mathematics Subject Classification ID

Exact distribution theory in statistics (62E15) Probability distributions: general theory (60E05)

Related Items (1)

The variance-gamma ratio distribution

Cites Work

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• Wasserstein and Kolmogorov error bounds for variance-gamma approximation via Stein's method. I
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• Moments of the generalized hyperbolic distribution
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• Fitting the variance-gamma model to financial data
• The Variance Gamma Process and Option Pricing

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