Management Associations Joint Symposium (GMA-GAMMA2023) held from July 20 to 23, 2023, in Seoul, Korea. It presents cutting …

the normalized variance-gamma bridge. We show that the normalized variance-gamma bridge and the associated gamma bridge …-called variance-gamma information process. The filtration is then taken to be generated by the information process together with the … gamma bridge. We show that the resulting extended information process has the Markov property and hence can be used to …

with an information process. In the present work we introduce a new process, which we call the normalized variance-gamma … bridge. We show that the normalized variance-gamma bridge and the associated gamma bridge are jointly Markovian. From these … processes, together with the specification of a market factor X T XT , we construct a so-called variance-gamma information …

- and Q-world are equal. To fully exploit the insights of the option market we deploy the Tilted Bilateral Gamma pricing …

- and Q-world are equal. To fully exploit the insights of the option market we deploy the Tilted Bilateral Gamma pricing …

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 …