Retracted article: The distribution of the maximum of a variance gamma process and path-dependent option pricing

DOI10.1007/s00780-015-0277-8zbMath1329.60151OpenAlexW2331372888MaRDI QIDQ889626

Roman V. Ivanov

Publication date: 9 November 2015

Published in: Finance and Stochastics (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1007/s00780-015-0277-8

zbMATH Keywords

hypergeometric functionspath-dependent optionsvariance gamma processdistribution of maximum

Mathematics Subject Classification ID

Cites Work

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