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The Variance-Gamma Distribution: A Review
Statistical ScienceThe variance-gamma (VG) distributions form a four-parameter family which includes as special and limiting cases the normal, gamma and Laplace distributions. Some of the numerous applications include financial modelling and distributional approximation on Wiener space.
Fischer, A, Gaunt, RE, Sarantsev, A
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On American Options Under the Variance Gamma Process [PDF]
Applied Mathematical Finance, 2007 American options are considered in a market where the underlying asset follows a Variance Gamma process. A sufficient condition is given for the failure of the smooth fit principle for finite horizon call options. A second‐order accurate finite‐difference method is proposed to find the American option price and the exercise boundary.
A. Almendral, C.W. Oosterlee (Kees)
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Efficient pricing of barrier options with the variance-gamma model
, 2004 We develop an efficient Monte Carlo algorithm for pricing barrier options with the variance gamma model [fMAD98a]. After generalizing the double-gamma bridge sampling algorithm of [fAVR03a], we develop conditional bounds on the process paths and exploit ...
Avramidis, Athanassios.N.
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On the Stochastic Volatility in the Generalized Black-Scholes-Merton Model
Risks, 2023 This paper discusses the generalized Black-Scholes-Merton model, where the volatility coefficient, the drift coefficient of stocks, and the interest rate are time-dependent deterministic functions.
Roman V. Ivanov
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Likelihood-based risk estimation for variance-gamma models [PDF]
Statistical Methods & Applications, 2017 zbMATH Open Web Interface contents unavailable due to conflicting licenses.
Bee, Marco +2 more
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Asymptotic Normality in Linear Regression with Approximately Sparse Structure
Mathematics, 2022 In this paper, we study the asymptotic normality in high-dimensional linear regression. We focus on the case where the covariance matrix of the regression variables has a KMS structure, in asymptotic settings where the number of predictors, p, is ...
Saulius Jokubaitis, Remigijus Leipus
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LOCAL VARIANCE GAMMA AND EXPLICIT CALIBRATION TO OPTION PRICES [PDF]
Mathematical Finance, 2014 In some options markets (e.g., commodities), options are listed with only a single maturity for each underlying. In others (e.g., equities, currencies), options are listed with multiple maturities. In this paper, we analyze a special class of pure jump Markov martingale models and provide an algorithm for calibrating such models to match the market ...
Carr, Peter, Nadtochiy, Sergey
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FEBS Letters, EarlyView.The physical dimensions and shape of bacterial cells define the surface area available to acquire nutrients and the volume available for synthesizing proteins and DNA. Here, we use computational systems biology to decode the importance of cell geometry as a major determinant of prokaryotic phenotype, including growth rate and metabolic efficiency. This
Ross P. Carlson +6 more
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The Downside and Upside Beta Valuation in the Variance-Gamma Model
International Journal of Analysis and Applications, 2021 The paper is aimed to assess the risks and gains of investment portfolio which relate to the impact of a particular asset. We consider the investment portfolios which consist of assets with variance-gamma, gamma distributed and deterministic returns. The
Roman V. Ivanov
doaj
Multivariate Downside Risk: Normal Versus Variance Gamma [PDF]
SSRN Electronic Journal, 2010 AbstractAlthough several types of options on multiple assets are popular in today's financial markets, valuing multiasset options is still a challenge in finance. The standard framework of multivariate normality is often inappropriate, since it ignores fat tails and other stylized facts of asset returns.
Wallmeier, Martin, Diethelm, Martin
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