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  • Search: subject:"Variance Gamma Process"
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Year of publication
Subject
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Option pricing theory 17 Optionspreistheorie 17 Stochastic process 16 Stochastischer Prozess 16 Volatility 11 Volatilität 11 variance gamma process 9 Variance Gamma process 7 Lévy process 6 Statistical distribution 6 Statistische Verteilung 6 variance-gamma process 5 Derivat 3 Derivative 3 Theorie 3 Variance gamma process 3 Variance-Gamma process 3 exponential distribution 3 option pricing 3 Black–Scholes model 2 Börsenkurs 2 CAPM 2 Correlation 2 Hypergeometric function 2 Korrelation 2 Monte-Carlo simulation 2 Option pricing 2 Option trading 2 Optionsgeschäft 2 Risiko 2 Risk 2 Share price 2 Theory 2 Variance-gamma process 2 ad hoc Black–Scholes model 2 drift switching 2 expected shortfall 2 feedback effect 2 hypergeometric function 2 leverage effect 2
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Online availability
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Undetermined 16 Free 12 CC license 2
Type of publication
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Article 26 Book / Working Paper 5 Other 1
Type of publication (narrower categories)
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Article in journal 19 Aufsatz in Zeitschrift 19 Working Paper 2 Arbeitspapier 1 Article 1
Language
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English 23 Undetermined 8 Spanish 1
Author
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Ivanov, Roman V. 5 Aguilar, Jean-Philippe 3 Heidergott, Bernd 2 Volk-Makarewicz, Warren 2 Ahmadi, Seyed Saeed 1 Ano, Katsunori 1 Arata, Yoshiyuki 1 Ballota, Laura 1 Carr, Peter 1 Deelstra, Griselda 1 Dimitrova, Dimitrina S. 1 Dowd, Kevin 1 FINLAY, RICHARD 1 Figueroa-Lopez, Enrique 1 Fiorani, Filo 1 Gaillardetz, Patrice 1 Guo, Fenglong 1 Hamza, Kais 1 Houdré, Christian 1 Itkin, Andrey 1 James, Victor 1 Jevtic, Petar 1 KAO, LIE-JANE 1 Kaishev, Vladimir K. 1 Kao, Lie-Jane 1 Kawai, Reiichiro 1 Kirkby, Justin Lars 1 Klebaner, Fima C. 1 Kohatsu-Higa, Arturo 1 Landsman, Zinoviy 1 Leung, Tim 1 Lu, Kevin W. 1 Maller, R. 1 Mehrdoust, Farshied 1 Moreno-Okuno, Alejandro Tatsuo 1 Mosiño, Alejandro 1 Mozumder, Sharif 1 Pesci, Nicolas 1 Rathgeber, Andreas W. 1 Rayée, Grégory 1
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Institution
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Collegio Carlo Alberto, Università degli Studi di Torino 1 Tinbergen Instituut 1 Volkswirtschaftliche Fakultät, Ludwig-Maximilians-Universität München 1
Published in...
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International journal of theoretical and applied finance 3 Applied mathematical finance 2 International Journal of Theoretical and Applied Finance (IJTAF) 2 Annals of financial economics 1 Applied Mathematical Finance 1 Asia-Pacific financial markets 1 Carlo Alberto Notebooks 1 Computational economics 1 Czech Journal of Economics and Finance (Finance a uver) 1 ECARES working paper 1 EconoQuantum : Revista de Economía y Negocios 1 Finance and stochastics 1 Insurance / Mathematics & economics 1 International journal of financial engineering 1 Journal of Risk and Financial Management 1 Journal of economic dynamics & control 1 Journal of risk and financial management : JRFM 1 MPRA Paper 1 Management Science 1 Quantitative finance 1 Review of derivatives research 1 Risks : open access journal 1 Statistical Inference for Stochastic Processes 1 The quarterly review of economics and finance : journal of the Midwest Economics Association ; journal of the Midwest Finance Association 1 Tinbergen Institute Discussion Paper 1 Tinbergen Institute Discussion Papers 1
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Source
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ECONIS (ZBW) 20 RePEc 9 EconStor 2 BASE 1
Showing 31 - 32 of 32
Cover Image
OPTION PRICING WITH VG–LIKE MODELS
FINLAY, RICHARD; SENETA, EUGENE - In: International Journal of Theoretical and Applied … 11 (2008) 08, pp. 943-955
We relax separately two assumptions regarding the Variance Gamma (VG) process and price options accordingly. In the case of the Difference of Gammas model we achieve a better fit to market data than achieved by other comparable models. In the case of the long range dependent VG model, we find...
Persistent link: https://www.econbiz.de/10004971741
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Cover Image
Testing for Mean Reversion in Processes of Ornstein-Uhlenbeck Type
Szimayer, A.; Maller, R. - In: Statistical Inference for Stochastic Processes 7 (2004) 2, pp. 95-113
Persistent link: https://www.econbiz.de/10005616007
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