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Fractional Gamma and Gamma-Subordinated Processes
Stochastic Analysis and Applications, 2015Luisa Beghin
exaly
Generalized Inv-Log-Gamma-G processes
Stochastic Analysis and Applications, 2018Józef Kiseľák +2 more
exaly
A fast and accurate lattice model to evaluate options under the variance gamma process
2015We develop a lattice-based model to evaluate European and American plain vanilla options when the underlying asset price is driven by a variance gamma process. By applying the Levy-Ito decomposition of the process, we obtain a compound Poisson process made up of a linear drift and the sum of the jumps taken by the process.
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Gamma, alpha, delta, and theta oscillations govern cognitive processes
International Journal of Psychophysiology, 2001Erol Basar +2 more
exaly
Gamma processes and peaks-over-threshold distributions for time-dependent reliability
Reliability Engineering and System Safety, 2007J M Van Noortwijk +2 more
exaly
Radiolytic degradation of carbofuran by using gamma and gamma/hydrogen peroxide processes
Radiation Physics and Chemistry, 2018Abdalla A Elbashir, Dilek Şolpan
exaly
Highly accurate evaluation of European and American options under the Variance Gamma process
The Journal of Computational Finance, 2006Ariel Almendral, Cornelis Oosterlee
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