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LOCALLY RISK-NEUTRAL VALUATION OF OPTIONS IN GARCH MODELS BASED ON VARIANCE-GAMMA PROCESS
International Journal of Theoretical and Applied Finance, 2012This 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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ASCE-ASME Journal of Risk and Uncertainty in Engineering Systems, Part A: Civil Engineering, 2021
Zhenhao Zhang, Zhang Zhenhao
exaly
Zhenhao Zhang, Zhang Zhenhao
exaly
Variance gamma process simulation and it's parameters estimation
2014Variance 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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A time-discrete extended gamma process for time-dependent degradation phenomena
Reliability Engineering and System Safety, 2012Maurizio Guida +2 more
exaly
A perturbed gamma process with statistically dependent measurement errors
Reliability Engineering and System Safety, 2016Gianpaolo Pulcini
exaly
A note on the multiplicative gamma process
Statistics and Probability Letters, 2017Daniele Durante
exaly
Covariates and Random Effects in a Gamma Process Model with Application to Degradation and Failure
Lifetime Data Analysis, 2004Jerry Lawless +2 more
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Failure Time of Non Homogeneous Gamma Process
Communications in Statistics - Theory and Methods, 2014Christian Paroissin, Ali Salami
exaly