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Variance Gamma (nonlocal) equations
Modern Stochastics: Theory and Applications, 2023 Some equations are provided for the Variance Gamma process using the definition other than that based on a time-changed Brownian motion. A new nonlocal equation is obtained involving generalized Weyl derivatives, which is true even in the drifted case ...
Fausto Colantoni
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Pricing with Variance Gamma Information [PDF]
Risks, 2020 In the information-based pricing framework of Brody, Hughston & Macrina, the market filtration {Ft}t≥0 is generated by an information process {ξt}t≥0 defined in such a way that at some fixed time T an FT-measurable random variable XT is “revealed”.
Lane P. Hughston +1 more
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The variance-gamma ratio distribution [PDF]
Comptes Rendus. Mathématique, 2023 Let $X$ and $Y$ be independent variance-gamma random variables with zero location parameter; then the exact probability density function of the ratio $X/Y$ is derived.
Gaunt, Robert E., Li, Siqi
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The Variance-Gamma Product Distribution. [PDF]
Results MathAbstract We derive the exact probability density function of the product of N independent variance-gamma random variables with zero location parameter. We then apply this formula to derive formulas for the cumulative distribution function and characteristic function, as well
Gaunt RE, Li S, Sutcliffe HL.
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The Variance Gamma++ process and applications to energy markets [PDF]
Applied Stochastic Models in Business and Industry, 2022 AbstractThe purpose of this article is to introduce a new Lévy process, termed the Variance Gamma++ process, to model the dynamics of assets in illiquid markets. Such a process has the mathematical tractability of the Variance Gamma process and is obtained by applying the self‐decomposability of the gamma law.
Matteo Gardini +2 more
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An Expanded Local Variance Gamma Model [PDF]
Computational Economics, 2020 38 pages, 8 figures, 5 ...
P. Carr, A. Itkin
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Bayesian estimation of rainfall dispersion in Thailand using gamma distribution with excess zeros [PDF]
PeerJ, 2022 The gamma distribution is commonly used to model environmental data. However, rainfall data often contain zero observations, which violates the assumption that all observations must be positive in a gamma distribution, and so a gamma model with excess ...
Wansiri Khooriphan +2 more
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PENENTUAN KONTRAK OPSI TIPE EROPA MENGGUNAKAN MODEL SIMULASI VARIANCE GAMMA (VG)
E-Jurnal Matematika, 2023 Options are used as a hedge against stock price uncertainty brought on by unstable stock prices fluctuation. The price of an option contract can be determined using a variety of approaches, one of which is the Variance Gamma. The purpose of this study is
NI KADEK LANI PITRAYANI +2 more
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Extension of Short Rate Model Under a Lévy Process
Fountain Journal of Natural and Applied Sciences (FUJNAS), 2023 A lot of abnormalities occur in real-life scenarios, thus leading to some difficulties in modelling such scenarios without a deeper understanding of certain aspects of Lévy processes.
Dr A. M. Udoye
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Special greeks of a variance-gamma driven vasicek model
Scientific African, 2023 Abrupt happenings in financial markets have resulted to the need to adopt Lévy processes such as a variance gamma process in modelling financial derivatives since it has the ability to capture jumps that occur in such scenario.
Adaobi M. Udoye, Lukman S. Akinola
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