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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)
All
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
All
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 1 - 10 of 32
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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
Wind-power generators around the world face two risks, one due to changes in wind intensity impacting energy production, and the second due to changes in electricity retail prices. To hedge these risks simultaneously, the quanto option is an ideal financial tool. The natural logarithm of...
Persistent link: https://www.econbiz.de/10014497409
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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
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Pricing vulnerable options with variance gamma systematic and idiosyncratic factors by Laplace transform inversion
Guo, Fenglong - 2025
Persistent link: https://www.econbiz.de/10015376388
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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
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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
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Closed-form option pricing for exponential Lévy models : a residue approach
Aguilar, Jean-Philippe; Kirkby, Justin Lars - In: Quantitative finance 23 (2023) 2, pp. 251-278
Persistent link: https://www.econbiz.de/10014232627
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Estudio empírico sobre el tipo de cambio mxn/usd : movimiento browniano geométrico versus proceso varianza-gamma
Mosiño, Alejandro; Salomón-Núñez, Laura Andrea; … - In: EconoQuantum : Revista de Economía y Negocios 16 (2019) 1, pp. 33-56
Persistent link: https://www.econbiz.de/10012210445
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A structural approach to default modelling with pure jump processes
Aguilar, Jean-Philippe; Pesci, Nicolas; James, Victor - In: Applied mathematical finance 28 (2021) 1, pp. 48-78
Persistent link: https://www.econbiz.de/10012625981
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An expanded Local Variance Gamma model
Carr, Peter; Itkin, Andrey - In: Computational economics 57 (2021) 4, pp. 949-987
Persistent link: https://www.econbiz.de/10012543243
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No country for old distributions? : on the comparison of implied option parameters between the Brownian motion and variance gamma process
Ulze, Markus; Stadler, Johannes; Rathgeber, Andreas W. - In: The quarterly review of economics and finance : journal … 82 (2021), pp. 163-184
Persistent link: https://www.econbiz.de/10013258472
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