Retracted article: The distribution of the maximum of a variance gamma process and path-dependent option pricing
type: Item
instance of: scholarly article
title: Retracted article: The distribution of the maximum of a variance gamma process and path-dependent option pricing
zbMATH Open document ID: 1329.60151
author: Roman Ivanov
published in: Finance and Stochastics
publication date: 2015-11-09T00:00:00Z
Mathematics Subject Classification ID: 60G70
Mathematics Subject Classification ID: 60G51
Mathematics Subject Classification ID: 60J75
Mathematics Subject Classification ID: 33C20
Mathematics Subject Classification ID: 91G80
zbMATH DE Number: 6505833
zbMATH Keywords: variance gamma process
zbMATH Keywords: distribution of maximum
zbMATH Keywords: path-dependent options
zbMATH Keywords: hypergeometric functions
MaRDI profile type: Publication
full work available at URL: s00780-015-0277-8
OpenAlex ID: W2331372888
cites work: On American Options Under the Variance Gamma Process
cites work: Q5519244
cites work: Ghost calibration and the pricing of barrier options and CDS in spectrally one-sided Lévy models: the parabolic Laplace inversion method
cites work: Variance swaps on time-changed Lévy processes
cites work: On the duality principle in option pricing: semimartingale setting
cites work: Stationary-increment Student and variance-gamma processes
cites work: Q3671491
cites work: The \(\alpha\)VG model for multivariate asset pricing: calibration and extension
cites work: On predicting the ultimate maximum for exponential Lévy processes
cites work: Closed Form Pricing of European Options for a Family of Normal-Inverse Gaussian Processes
cites work: The \(\beta \)-variance gamma model
cites work: Monte Carlo Methods and Models in Finance and Insurance
cites work: The Variance Gamma Process and Option Pricing
cites work: Option Pricing With V. G. Martingale Components1
cites work: Martingale methods in financial modelling.
cites work: Tempering stable processes
cites work: A MULTIVARIATE VARIANCE GAMMA MODEL FOR FINANCIAL APPLICATIONS
cites work: Q4220653
cites work: Q5506182
DOI: 10.1007/S00780-015-0277-8
Recommended article: Retraction note to: ``The distribution of the maximum of a variance gamma process and path-dependent option pricing''
Recommended article: The Variance Gamma Process and Option Pricing
Recommended article: Q5452877
Recommended article: Dirichlet Bridge Sampling for the Variance Gamma Process: Pricing Path-Dependent Options
Recommended article: A Remark on Gatheral’s ‘Most-Likely Path Approximation’ of Implied Volatility
Recommended article: Option pricing from path integral for non-Gaussian fluctuations. Natural martingale and application to truncated Lèvy distributions
Recommended article: On American Options Under the Variance Gamma Process
Recommended article: Q3466025
Recommended article: Distribution of occupation times for constant elasticity of variance diffusion and the pricing ofα-quantile options
Recommended article: A stochastic maximum principle for processes driven by G‐Brownian motion and applications to finance
description: scientific article; zbMATH DE number 6505833