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Search: subject:"variance gamma"
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Option pricing theory
58
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58
Stochastic process
49
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49
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31
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27
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19
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variance gamma
16
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11
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10
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option pricing
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variance gamma model
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7
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Madan, Dilip B.
23
Ivanov, Roman V.
8
Carr, Peter
5
Schoutens, Wim
5
Göncü, Ahmet
4
Wang, King
4
Aguilar, Jean-Philippe
3
Cao, Lingyan
3
Cervellera, Gian P.
3
Madan, Dilip
3
Mercuri, Lorenzo
3
Neto, David
3
Sardy, Sylvain
3
Tichý, Tomáš
3
Yor, Marc
3
BOYARCHENKO, MITYA
2
Cummins, Mark
2
Guo, Zheng-Feng
2
Heidergott, Bernd
2
Hitaj, Asmerilda
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Hughston, Lane P.
2
Kao, Lie Jane
2
Karahan, Mehmet Oguz
2
Kiely, Greg
2
Kozubowski, Tomasz J.
2
Kuzubas, Tolga Umut
2
Küchler, Uwe
2
LEVENDORSKIĬ, SERGEI
2
MADAN, DILIP B.
2
Madan, Dilip B
2
Mata, Leovardo
2
Mazur, Stepan
2
Michaelsen, Markus
2
Mozumder, Sharif
2
Murphy, Bernard
2
Naumann, Eva
2
Nzokem, Aubain Hilaire
2
Pistorius, Martijn
2
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Volkswirtschaftliche Fakultät, Ludwig-Maximilians-Universität München
2
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1
Colwell, David , Banking & Finance, Australian School of Business, UNSW
1
Dipartimento di Economia Politica e Statistics, Facoltà di Economia "Richard M. Goodwin"
1
Economics Department, Queen's University
1
Geary Institute, University College Dublin
1
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1
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1
Lee, Brendan Chee-Seng, Banking & Finance, Australian School of Business, UNSW
1
Society for Computational Economics - SCE
1
Sonderforschungsbereich 373, Quantifikation und Simulation ökonomischer Prozesse, Wirtschaftswissenschaftliche Fakultät
1
Tinbergen Instituut
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International journal of theoretical and applied finance
11
International Journal of Theoretical and Applied Finance (IJTAF)
8
International journal of financial engineering
5
Journal of Risk and Financial Management
4
The journal of computational finance
4
Annals of finance
3
Applied mathematical finance
3
Asia-Pacific financial markets
3
Journal of risk and financial management : JRFM
3
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3
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3
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2
Applied Mathematical Finance
2
Asia-Pacific Financial Markets
2
Bogazici Journal of Economics and Administrative Sciences
2
Computational Statistics & Data Analysis
2
Computational economics
2
Finance and Stochastics
2
Finance research letters
2
Insurance / Mathematics & economics
2
Journal of banking & finance
2
Journal of financial econometrics : official journal of the Society for Financial Econometrics
2
MPRA Paper
2
Management Science
2
Mathematical finance : an international journal of mathematics, statistics and financial theory
2
Mathematics and financial economics
2
Politická ekonomie
2
Risks
2
The North American journal of economics and finance : a journal of financial economics studies
2
The quarterly review of economics and finance : journal of the Midwest Economics Association ; journal of the Midwest Finance Association
2
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2
Accounting & Taxation
1
Advanced modelling in mathematical finance : in honour of Ernst Eberlein
1
Annals of Finance
1
Cahiers du Département d'Econométrie
1
Carlo Alberto Notebooks
1
Computational management science
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Computing in Economics and Finance 2003
1
Czech Journal of Economics and Finance (Finance a uver)
1
Decisions in economics and finance : DEF ; a journal of applied mathematics
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ECONIS (ZBW)
87
RePEc
45
EconStor
8
BASE
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Other ZBW resources
2
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81
Modeling mortality and pricing life annuities with Lévy processes
Ahmadi, Seyed Saeed
;
Gaillardetz, Patrice
- In:
Insurance / Mathematics & economics
64
(
2015
),
pp. 337-350
Persistent link: https://www.econbiz.de/10011398092
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82
Prediction of stock price movement using continuous time models
Sonono, Masimba E.
;
Mashele, Hopolang P.
- In:
Journal of mathematical finance
5
(
2015
)
2
,
pp. 178-191
Persistent link: https://www.econbiz.de/10011398992
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83
A new type of barrier options : lizard option
Kawanishi, Yasuhiro
- In:
Asia-Pacific financial markets
22
(
2015
)
1
,
pp. 75-86
Persistent link: https://www.econbiz.de/10010511547
Saved in:
84
Option pricing for symmetric Lévy returns with applications
Hamza, Kais
;
Klebaner, Fima C.
;
Landsman, Zinoviy
;
Tan, …
- In:
Asia-Pacific financial markets
22
(
2015
)
1
,
pp. 27-52
Persistent link: https://www.econbiz.de/10010511553
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85
The distribution of the maximum of a
variance
gamma
process and path-dependent option pricing
Ivanov, Roman V.
- In:
Finance and stochastics
19
(
2015
)
4
,
pp. 979-993
Persistent link: https://www.econbiz.de/10011421382
Saved in:
86
Revisiting
variance
gamma
pricing : an application to S&P500 index options
Mozumder, Sharif
;
Sorwar, Ghulam
;
Dowd, Kevin
- In:
International journal of financial engineering
2
(
2015
)
2
,
pp. 1-24
Persistent link: https://www.econbiz.de/10011333422
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87
Recovering statistical theory in the context of model calibrations
Madan, Dilip B.
- In:
Journal of financial econometrics : official journal of …
13
(
2015
)
2
,
pp. 260-292
Persistent link: https://www.econbiz.de/10011339334
Saved in:
88
Performance and determinants of the Merton structural model : evidence from hedging coefficients
Barsotti, Flavia
;
Del Viva, Luca
- In:
Journal of banking & finance
58
(
2015
),
pp. 95-111
Persistent link: https://www.econbiz.de/10011543912
Saved in:
89
COMFORT: a common market factor non-Gaussian returns model
Paolella, Marc S.
;
Polak, Pawel
- In:
Journal of econometrics
187
(
2015
)
2
,
pp. 593-605
Persistent link: https://www.econbiz.de/10011499783
Saved in:
90
On the application of spectral filters in a Fourier option pricing technique
Ruijter, Marjon
;
Versteegh, M.
;
Oosterlee, Cornelis …
- In:
The journal of computational finance
19
(
2015
)
1
,
pp. 75-106
Persistent link: https://www.econbiz.de/10011480718
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