The Variance Gamma Process and Option Pricing
- 1 April 1998
- journal article
- Published by Oxford University Press (OUP) in European Finance Review
- Vol. 2 (1) , 79-105
- https://doi.org/10.1023/a:1009703431535
Abstract
A three parameter stochastic process, termed the variance gamma process, that generalizes Brownian motion is developed as a model for the dynamics ofKeywords
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