Absolute moments of the variance-gamma distribution

DOI10.1016/j.jmaa.2024.128861MaRDI QIDQ6640883

Robert E. Gaunt

Publication date: 20 November 2024

Published in: Journal of Mathematical Analysis and Applications (Search for Journal in Brave)

zbMATH Keywords

hypergeometric functionmodified Bessel functionasymmetric Laplace distributionabsolute momentvariance-gamma distributionproduct of correlated normal random variables

Mathematics Subject Classification ID

Central limit and other weak theorems (60F05) Probability distributions: general theory (60E05) Characterization and structure theory of statistical distributions (62E10) Bessel and Airy functions, cylinder functions, ({}_0F_1) (33C10)

Cites Work

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• Moments of the generalized hyperbolic distribution
• Fitting the variance-gamma model to financial data
• The Variance Gamma Process and Option Pricing
• Absolute Moments of Generalized Hyperbolic Distributions and Approximate Scaling of Normal Inverse Gaussian Lévy Processes
• On the frequency function of \(xy\).
• The basic distributional theory for the product of zero mean correlated normal random variables
• On the moments of the variance-gamma distribution
• A note on the distribution of the product of zero‐mean correlated normal random variables

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