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The Early Years of the Variance-Gamma Process
16 references·0 citing·36 second hop
The Early Years of the Variance-Gamma Process (2007)The Early Years of the Variance-Gamma Pro…Stationary-increment Student and variance-gamma processes (2006)Stationary-increment Student …Lévy Processes and Stochastic Calculus (2004)Lévy Processes and Stochastic…Fitting the variance-gamma model to financial data (2004)Fitting the variance-gamma mo…Lévy Processes in Finance (2003)Lévy Processes in FinanceLévy processes in finance pricing financial derivatives (2003)Lévy processes in finance pri…Pricing Derivative Securities (2000)Pricing Derivative SecuritiesA risky asset model with strong dependence through fractal activity time (1999)A risky asset model with stro…The Variance Gamma Process and Option Pricing (1998)The Variance Gamma Process an…New methods in statistical economics (1997)New methods in statistical ec…Option Pricing With V. G. Martingale Components1 (1991)Option Pricing With V. G. Mar…The Variance Gamma (V.G.) Model for Share Market Returns (1990)The Variance Gamma (V.G.) Mod…Chebyshev Polynomial Approximations and Characteristic Function Estimation (1987)Chebyshev Polynomial Approxim…The Distribution of Share Price Changes (1972)The Distribution of Share Pri…AUSTRALIAN SHARE PRICES AND THE RANDOM WALK HYPOTHESIS (1969)AUSTRALIAN SHARE PRICES AND T…A Compound Events Model for Security Prices (1967)A Compound Events Model for S…The Behavior of Stock-Market Prices (1965)The Behavior of Stock-Market …DISTRIBUTION OF INCOMES OF CORPORATIONS AMONG DIVIDENDS, RETAINED EARNINGS AND TAXES (1956)Portfolio Selection: Efficient Diversification of Investments (1959)Dividend Policy, Growth, and the Valuation of Shares (1961)EFFICIENT CAPITAL MARKETS: A REVIEW OF THEORY AND EMPIRICAL WORK* (1970)Risk, Return, and Equilibrium: Empirical Tests (1973)Conditional Heteroskedasticity in Asset Returns: A New Approach (1991)The Pricing of Options and Corporate Liabilities (1973)A Closed-Form Solution for Options with Stochastic Volatility with Applications to Bond and Currency Options (1993)Continuous Martingales and Brownian Motion (1999)Option valuation using the fast Fourier transform (1999)A Jump-Diffusion Model for Option Pricing (2002)Power and Bipower Variation with Stochastic Volatility and Jumps (2004)Option pricing when underlying stock returns are discontinuous (1976)Lévy Processes in Finance: Theory, Numerics, and Empirical Facts (2000)The cumulant process and Esscher's change of measure (2002)Specification Analysis of Option Pricing Models Based on Time‐Changed Lévy Processes (2004)Théorie de la spéculation (1900)The variation of certain speculative prices (1997)How Are Derivatives Used? Evidence from the Mutual Fund Industry (1999)Applied Stochastic Processes and Control for Jump-Diffusions: Modeling, Analysis and Computation (2007)The Theory of Scale Functions for Spectrally Negative Lévy Processes (2012)Fluctuations of Lévy Processes with Applications (2014)The Fine Structure of Asset Returns: An Empirical Investigation (2002)Stochastic Volatility for Lévy Processes (2003)Time-changed Lévy processes and option pricing (2003)A Finite Difference Scheme for Option Pricing in Jump Diffusion and Exponential Lévy Models (2005)The application of continuous-time random walks in finance and economics (2005)Pricing early-exercise and discrete barrier options by fourier-cosine series expansions (2009)Modeling asset returns with alternative stable distributions (1993)Start-up size and industrial dynamics: some evidence from Italian manufacturing (1999)Multifractal analysis of financial markets: a review (2019)Long-term dependence in common stock returns (1977)On the Frequency of Large Stock Returns: Putting Booms and Busts into Perspective (1989)The Distribution of Stock Return Volatility (2000)Some remarks on first passage of Lévy processes, the American put and pasting principles (2005)Fractional Diffusion Models of Option Prices in Markets With Jumps (2006)
this work references cited by second hop

References

  • 1965The Behavior of Stock-Market Prices8,707 cited
  • 2004Lévy Processes and Stochastic Calculus2,040 cited
  • 1998The Variance Gamma Process and Option Pricing1,786 cited
  • 1990The Variance Gamma (V.G.) Model for Share Market Returns1,470 cited
  • 2003Lévy processes in finance pricing financial derivatives807 cited
  • 2003Lévy Processes in Finance793 cited
  • 1972The Distribution of Share Price Changes533 cited
  • 1967A Compound Events Model for Security Prices441 cited
  • 1997New methods in statistical economics434 cited
  • 1991Option Pricing With V. G. Martingale Components1411 cited
  • 2004Fitting the variance-gamma model to financial data137 cited
  • 1999A risky asset model with strong dependence through fractal activity time85 cited
  • 1987Chebyshev Polynomial Approximations and Characteristic Function Estimation84 cited
  • 1969AUSTRALIAN SHARE PRICES AND THE RANDOM WALK HYPOTHESIS74 cited
  • 2006Stationary-increment Student and variance-gamma processes49 cited
  • 2000Pricing Derivative Securities36 cited

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