The \(\beta \)-variance gamma model

DOI10.1007/S11147-010-9057-YzbMath1232.91713OpenAlexW2007482411MaRDI QIDQ660161

Wim Schoutens, Geert Van Damme

Publication date: 26 January 2012

Published in: Review of Derivatives Research (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1007/s11147-010-9057-y

zbMATH Keywords

Lévy processeshitting probabilitybarrier options

Mathematics Subject Classification ID

Numerical methods (including Monte Carlo methods) (91G60) Derivative securities (option pricing, hedging, etc.) (91G20) Credit risk (91G40)

Related Items (4)

Retracted article: The distribution of the maximum of a variance gamma process and path-dependent option pricing ⋮ Multilevel Monte Carlo simulation for Lévy processes based on the Wiener-Hopf factorisation ⋮ Explicit representations for the expectations of exponential functionals of the multi-factor variance gamma process and their applications ⋮ An Euler–Poisson scheme for Lévy driven stochastic differential equations

Uses Software

• Algorithm 368

Cites Work

• Unnamed Item
• A Wiener-Hopf Monte Carlo simulation technique for Lévy processes
• The Fourier-series method for inverting transforms of probability distributions
• Approximations of small jumps of Lévy processes with a view towards simulation
• Wiener-Hopf Factorization for a Family of Lévy Processes Related to Theta Functions
• CREDIT SPREADS, OPTIMAL CAPITAL STRUCTURE, AND IMPLIED VOLATILITY WITH ENDOGENOUS DEFAULT AND JUMP RISK
• The Accurate Numerical Inversion of Laplace Transforms
• The normal inverse gaussian lévy process: simulation and approximation
• Numerical Inversion of Laplace Transforms of Probability Distributions
• The Variance Gamma Process and Option Pricing

This page was built for publication: The \(\beta \)-variance gamma model