Option pricing using variance gamma Markov chains
type: Item
instance of: scholarly article
title: Option pricing using variance gamma Markov chains
zbMATH Open document ID: 1064.91044
DOI: 10.1023/A:1013816400834
author: Mikhail Konikov
author: Dilip B. Madan
published in: Review of Derivatives Research
publication date: 2003-12-18T00:00:00Z
Mathematics Subject Classification ID: 91G20
Mathematics Subject Classification ID: 91B30
Mathematics Subject Classification ID: 91B84
zbMATH DE Number: 2019691
zbMATH Keywords: Lévy processes
zbMATH Keywords: asset prices
zbMATH Keywords: characteristic function
MaRDI profile type: Publication
full work available at URL: a:1013816400834
OpenAlex ID: W1542274658
description: scientific article; zbMATH DE number 2019691