Results 231 to 240 of about 123,350 (264)

An approximate Malliavin weight for Variance Gamma process: Sensitivity analysis of European style options

Nonlinear Analysis: Theory, Methods & Applications, 2009
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Bayazıt, Derviş, Nolder, Craig A.
openaire   +2 more sources

Building Fuzzy Variance Gamma Option Pricing Models with Jump Levy Process

2017
Option pricing models are at core of financial area, and it includes various uncertain factors, such as the randomness and fuzziness. This paper constructs an jump Levy process by combining option pricing models with fuzzy theory, and it sets the drift, diffusion and trend terms as fuzzy random variable.
Huiming Zhang, Junzo Watada
openaire   +1 more source

The Variance Gamma Scaled Self-Decomposable Process in Actuarial Modelling [PDF]

, 2010
A scaled self-decomposable stochastic process put forward by Carr, Geman, Madan and Yor (2007) is used to model long term equity returns and options prices. This parsimonious model is compared to a number of other one-dimensional continuous time stochastic processes (models) that are commonly used in finance and the actuarial sciences.
Conall O'Sullivan, Michael Moloney
openaire  

The Variance Gamma plus plus process and applications to energy markets

2023
Peer ...
Gardini, Matteo, Sabino, Piergiacomo, Sasso, Emanuela   +2 more
openaire   +1 more source

On the likelihood function of small time variance Gamma Lévy processes

Statistics, 2014
We investigate the likelihood function of small generalized Laplace laws and variance gamma Levy processes in the short time framework. We prove the local asymptotic normality property in statistical inference for the variance gamma Levy process under high-frequency sampling with its associated optimal convergence rate and Fisher information matrix ...
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The distribution of the maximum of a variance gamma process and path-dependent option pricing.

Finance Stochastics, 2015
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Interest rate swap pricing with default risk under variance gamma process

Applied Mathematics-A Journal of Chinese Universities, 2017
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Yang, Xiaofeng, Yu, Jinping
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The Variance Gamma Self-Decomposable Process in Actuarial Modelling

2010
Not ...
O'Sullivan, Conall, Moloney, Michael
openaire   +1 more source

LOCALLY RISK-NEUTRAL VALUATION OF OPTIONS IN GARCH MODELS BASED ON VARIANCE-GAMMA PROCESS

International Journal of Theoretical and Applied Finance, 2012
This study develops a GARCH-type model, i.e., the variance-gamma GARCH (VG GARCH) model, based on the two major strands of option pricing literature. The first strand of the literature uses the variance-gamma process, a time-changed Brownian motion, to model the underlying asset price process such that the possible skewness and excess kurtosis on the ...
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Variance gamma process simulation and it's parameters estimation

2014
Variance gamma process is a three parameter process. Variance gamma process is simulated as a gamma time-change Brownian motion and as a difference of two independent gamma processes. Estimations of simulated variance gamma process parameters are presented in this paper.
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