Pricing with variance gamma information
Year of publication: |
2020
|
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Authors: | Hughston, Lane P. ; Sánchez-Betancourt, Leandro |
Published in: |
Risks : open access journal. - Basel : MDPI, ISSN 2227-9091, ZDB-ID 2704357-5. - Vol. 8.2020, 4/105, p. 1-22
|
Subject: | information-based asset pricing | Lévy processes | gamma processes | variance gamma processes | Brownian bridges | gamma bridges | nonlinear filtering | Stochastischer Prozess | Stochastic process | Optionspreistheorie | Option pricing theory |
Type of publication: | Article |
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Type of publication (narrower categories): | Aufsatz in Zeitschrift ; Article in journal |
Language: | English |
Other identifiers: | 10.3390/risks8040105 [DOI] hdl:10419/258058 [Handle] |
Source: | ECONIS - Online Catalogue of the ZBW |
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