Results 11 to 20 of about 188,093 (295)
Calibration for Weak Variance-Alpha-Gamma Processes [PDF]
Methodology and Computing in Applied Probability, 2018 The weak variance-alpha-gamma process is a multivariate Lévy process constructed by weakly subordinating Brownian motion, possibly with correlated components with an alpha-gamma subordinator. It generalises the variance-alpha-gamma process of Semeraro constructed by traditional subordination.
Boris Buchmann +2 more
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Efficient simulation of gamma and variance-gamma processes [PDF]
Proceedings of the 2003 International Conference on Machine Learning and Cybernetics (IEEE Cat. No.03EX693), 2004 We study algorithms for sampling discrete-time paths of a gamma process and a variance-gamma process, defined as a Brownian process with random time change obeying a gamma process. The attractive feature of the algorithms is that increments of the processes over longer time scales are assigned to the first sampling coordinates. The algorithms are based
Avramidis, Athanassios.N. +2 more
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Option Pricing under the Variance Gamma Process [PDF]
SSRN Electronic Journal, 2004 In this dissertation we price European and American vanilla and barrier options assuming that the underlying follows the variance gamma process. We solve numerically the problem implementing a finite difference algorithm and we present numerical experiments on the option pricing.
Fiorani, Filo
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Variance-Gamma approximation via Stein's method
Electronic Journal of Probability, 2014 Variance-Gamma distributions are widely used in financial modelling and contain as special cases the normal, Gamma and Laplace distributions. In this paper we extend Stein's method to this class of distributions. In particular, we obtain a Stein equation and smoothness estimates for its solution.
Robert E. Gaunt +2 more
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Absolute moments of the variance-gamma distribution
Journal of Mathematical Analysis and Applications11 ...
Gaunt, Robert E.
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Geometric Local Variance Gamma Model [PDF]
The Journal of Derivatives, 2019 This paper describes another extension of the Local Variance Gamma model originally proposed by P. Carr in 2008, and then further elaborated on by Carr and Nadtochiy, 2017 (CN2017), and Carr and Itkin, 2018 (CI2018). As compared with the latest version of the model developed in CI2018 and called the ELVG (the Expanded Local Variance Gamma model), here ...
Carr, Peter, Itkin, Andrey
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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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Residue Sum Formula for Pricing Options under the Variance Gamma Model
Mathematics, 2021 We present and prove a triple sum series formula for the European call option price in a market model where the underlying asset price is driven by a Variance Gamma process.
Pedro Febrer, João Guerra
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