Search Results - subject:"Variance gamma"

Stochastic modeling of wind derivatives with application to the Alberta energy market

Warunasinghe, Sudeesha; Sviščuk, Anatolij - In: Risks : open access journal 12 (2024) 2, pp. 1-26

ideal financial tool. The natural logarithm of electricity prices of the study will be modeled with a variance gamma (VG …

Persistent link: https://www.econbiz.de/10014497409

Construction and hedging of equity index options portfolios

Wysocki, Maciej; Ślepaczuk, Robert - 2024

Persistent link: https://www.econbiz.de/10014634884

Probability distributions for modeling stock market returns : an empirical inquiry

Pokharel, Jayanta K.; Aryal, Gokarna; Khanal, Netra; … - In: International Journal of Financial Studies : open … 12 (2024) 2, pp. 1-27

involves a comparative study with the widely-used Variance-Gamma distribution, assessing their fit with the weekly returns of …

Persistent link: https://www.econbiz.de/10014636305

Pricing European options under stochastic volatility models: Case of five-parameter variance-gamma process

Nzokem, Aubain Hilaire - In: Journal of Risk and Financial Management 16 (2023) 1, pp. 1-28

The paper builds a Variance-Gamma (VG) model with five parameters: location (μ), symmetry (δ), volatility … analysis were obtained by fitting the five-parameter Variance-Gamma (VG) model to the underlying distribution of the daily SPY …

Persistent link: https://www.econbiz.de/10014332830

Pricing European options under stochastic volatility models : case of five-parameter variance-gamma process

Nzokem, Aubain Hilaire - In: Journal of risk and financial management : JRFM 16 (2023) 1, pp. 1-28

The paper builds a Variance-Gamma (VG) model with five parameters: location (μ), symmetry (δ), volatility (σ), shape (α …+αθδ) and variance α(θ2δ2+σ2θ). The data used for empirical analysis were obtained by fitting the five-parameter Variance-Gamma …

Persistent link: https://www.econbiz.de/10014288862

Monte Carlo simulation for trading under a Lévy-driven mean-reverting framework

Leung, Tim; Lu, Kevin W. - In: Applied mathematical finance 30 (2023) 4, pp. 207-230

Persistent link: https://www.econbiz.de/10015051244

Pricing vulnerable options with variance gamma systematic and idiosyncratic factors by Laplace transform inversion

Guo, Fenglong - 2025

Persistent link: https://www.econbiz.de/10015376388

The risk measurement under the variance-gamma process with drift switching

Ivanov, Roman V. - In: Journal of Risk and Financial Management 15 (2022) 1, pp. 1-27

The paper discusses an extension of the variance-gamma process with stochastic linear drift coefficient. It is assumed …

Persistent link: https://www.econbiz.de/10013201326

Matrix variate generalized laplace distributions

Kozubowski, Tomasz J.; Mazur, Stepan; Podgorski, Krysztof - 2022

The generalized asymmetric Laplace (GAL) distribution, also known as the variance/mean-gamma model, is a popular flexible class of distributions that can account for peakedness, skewness, and heavier than normal tails, often observed in financial or other empirical data. We consider extensions...

Persistent link: https://www.econbiz.de/10013331918

The risk measurement under the variance-gamma process with drift switching

Ivanov, Roman V. - In: Journal of risk and financial management : JRFM 15 (2022) 1, pp. 1-27

The paper discusses an extension of the variance-gamma process with stochastic linear drift coefficient. It is assumed …

Persistent link: https://www.econbiz.de/10012813564