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- W1567155531 abstract "Abstract The variance‐gamma (VG) process is a stochastic process with independent stationary increments, which allows for flexible parameterization of skewness and kurtosis and is analytically tractable. It can be represented either as a Lévy process with VG increments or as a subordinated Brownian motion. We briefly discuss the VG model, parameter estimation issues, applications to option pricing, and extensions allowing for dependence in increments." @default.
- W1567155531 created "2016-06-24" @default.
- W1567155531 creator A5087687676 @default.
- W1567155531 date "2010-02-26" @default.
- W1567155531 modified "2023-10-11" @default.
- W1567155531 title "Variance‐Gamma Model" @default.
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- W1567155531 doi "https://doi.org/10.1002/9780470061602.eqf08026" @default.
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