Option pricing in the variance-gamma model under the drift jump
Year of publication: |
June 2018
|
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Authors: | Ivanov, Roman V. |
Published in: |
International journal of theoretical and applied finance. - River Edge, NJ [u.a.] : World Scientific, ISSN 0219-0249, ZDB-ID 1428982-9. - Vol. 21.2018, 4, p. 1-19
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Subject: | European option | variance-gamma process | drift jump | exponential distribution | generalized hyperbolic function | Optionspreistheorie | Option pricing theory | Stochastischer Prozess | Stochastic process | Statistische Verteilung | Statistical distribution | Volatilität | Volatility | EU-Staaten | EU countries |
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