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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
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 in MathematicsAbstract 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
Robert E. Gaunt +2 more
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PRICING EUROPEAN OPTIONS IN THE VARIANCE GAMMA MODEL
Quantitative Methods in Economics, 2019 The purpose of the article was to investigate if it is posssible to speed up the process of pricing European options in the variance gamma setting. The analysis carried out for this purpose refers to the choice of the Fourier transform scheme, which allows to obtain accurately and fast the final result (theoretical value of the European option).
Arkadiusz Orzechowski
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Experimental Measurements and Computer Simulation of Fission Product Gamma-Ray Spectra [PDF]
, 1997 Airborne gamma ray spectrometry using high volume scintillation detectors, optionally in conjunction with Ge detectors, has potential for making rapid environmental measurements in response to nuclear accidents. An experimental investigation and computer
Sanderson, D.C.W. +4 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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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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Media Statistika, 2022 The Option is widely applied in the financial sector. The Black-Scholes-Merton model is often used in calculating option prices on a stock price movement.
Abdul Hoyyi +2 more
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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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