Pricing with variance gamma information
Year of publication: |
2020
|
---|---|
Authors: | Hughston, Lane P. ; Sánchez-Betancourt, Leandro |
Published in: |
Risks. - Basel : MDPI, ISSN 2227-9091. - Vol. 8.2020, 4, p. 1-22
|
Publisher: |
Basel : MDPI |
Subject: | information-based asset pricing | Lévy processes | gamma processes | variance gamma processes | Brownian bridges | gamma bridges | nonlinear filtering |
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