Results 261 to 270 of about 123,153 (297)

Dynamic programming for valuing American options under a variance‐gamma process

Journal of Futures Markets, 2020
AbstractLévy processes provide a solution to overcome the shortcomings of the lognormal hypothesis. A growing literature proposes the use of pure‐jump Lévy processes, such as the variance‐gamma (VG) model. In this setting, explicit solutions for derivative prices are unavailable, for instance, for the valuation of American options. We propose a dynamic
Hatem Ben‐Ameur, Rim Chérif, Bruno Rémillard   +2 more
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The Early Years of the Variance-Gamma Process

2007
Dilip Madan and I worked on stochastic process models with stationary independent increments for the movement of log-prices at the University of Sydney in the period 1980–1990, and completed the 1990 paper [21] while respectively at the University of Maryland and the University of Virginia.
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Properties of the Variance-Gamma Process With Drift Switching Component With Financial Applications

SSRN Electronic Journal, 2020
We consider an extension of the variance-gamma process implying that the linear drift rate of the process can switch suddenly by a jump. The value of jump is modeled by the multidimensional distribution, the jump time is simulated by the exponential distribution.
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An approximate Malliavin weight for Variance Gamma process: Sensitivity analysis of European style options

Nonlinear Analysis: Theory, Methods & Applications, 2009
zbMATH Open Web Interface contents unavailable due to conflicting licenses.
Bayazıt, Derviş, Nolder, Craig A.
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The Variance Gamma plus plus process and applications to energy markets

2023
Peer ...
Gardini, Matteo, Sabino, Piergiacomo, Sasso, Emanuela   +2 more
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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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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
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The distribution of the maximum of a variance gamma process and path-dependent option pricing.

Finance Stochastics, 2015
zbMATH Open Web Interface contents unavailable due to conflicting licenses.
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Interest rate swap pricing with default risk under variance gamma process

Applied Mathematics-A Journal of Chinese Universities, 2017
zbMATH Open Web Interface contents unavailable due to conflicting licenses.
Yang, Xiaofeng, Yu, Jinping
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The Variance Gamma Self-Decomposable Process in Actuarial Modelling

2010
Not ...
O'Sullivan, Conall, Moloney, Michael
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