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Variance gamma process
Lévy Finance *[0.5Cm] Models and Results
Pricing, Risk and Volatility in Subordinated Market Models
Arbitrage Free Approximations to Candidate Volatility Surface Quotations
Informs 2007 Proceedings
Some Mathematical Aspects of Market Impact Modeling by Alexander Schied and Alla Slynko
Multilevel Particle Filters for L\'Evy-Driven Stochastic Differential
Exact Likelihood Inference for Autoregressive Gamma Stochastic Volatility Models1
Pricing European Options with Lévy Market Models and Deep Learning
Multivariate Subordination Using Generalised Gamma Convolutions with Applications to Variance Gamma Processes and Option Pricing∗
Stochastic Processes and Applications Mongolia 2015
Arxiv:2004.02267V1 [Math.PR] 5 Apr 2020 E Words: Key Norm Literature
Bayesian Analysis of Stochastic Volatility Models with Levy Jumps: Application to Risk Analysis
Working Papers No
Option Pricing with Selfsimilar Additive Processes
1 Lévy Processes and Infinite Divisibility
Bayesian Option Pricing Framework with Stochastic Volatility for FX Data
Sequential Bayesian Learning for Stochastic Volatility with Variance-Gamma Jumps in Returns
Filtering in Finance
Top View
Option Pricing Under the Variance Gamma Process
The Variance Gamma Process and Option Pricing
A Jump-Diffusion Model for Option Pricing
Revisiting Variance Gamma Pricing : an Application to S&P500 Index Options Mozumder, S and Sorwar, G
The Variance Gamma (VG) Model with Long Range Dependence
Option Pricing with Lévy Processes
Methods of Superstatistics and Subordination in Theory of Option Pricing with Stochastic Volatility
The Volatility Process: a Study of Stock Market Dynamics Via Parametric
Option Pricing with Selfsimilar Additive Processes Mack L
Efficient Simulation of Gamma and Variance-Gamma Processes
Implied Volatility Surface (IVS): 1
Variance Gamma Pricing of American Futures Options Eunjoo Yoo
Variance Gamma Process in the Option Pricing Model Jakub Drahokoupil
Numerical Advances in Pricing Forward Volatility Sensitive Equity Derivatives
Variance Gamma Process for Predictive Maintenance of Mechanical Systems Marwa Belhaj Salem, Mitra Fouladirad, Estelle Deloux
Modelling and Prognostics of System Degradation Using Variance Gamma Process Marwa Belhaj Salem, Estelle Deloux, Mitra Fouladirad
Stochastic Volatility Models and Hybrid Derivatives
Modeling Share Returns - an Empirical Study on the Variance Gamma Model