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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, 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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Lévy Processes Linked to the Lower-Incomplete Gamma Function

Fractal and Fractional, 2021
Luisa Beghin, Beghin Luisa
exaly

A gamma process based model for systems subject to multiple dependent competing failure processes under Markovian environments

Reliability Engineering and System Safety, 2022
Bei Wu, Dong Ding
exaly

Goodness-of-fit procedure for gamma processes

Computational Statistics, 2023
Ghislain Verdier
exaly

A survey of the application of gamma processes in maintenance

Reliability Engineering and System Safety, 2009
J M Van Noortwijk
exaly

Functionals of Dirichlet processes, the Cifarelli–Regazzini identity and Beta-Gamma processes

Annals of Statistics, 2005
Lancelot F James
exaly

Some gamma processes based on the dirichlet-gamma transformation

Stochastic Models, 1993
Abdulhamid A Alzaid
exaly