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Fitting the variance-gamma model to financial data

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References

1999Option valuation using the fast Fourier transform2,155 cited
1998The Variance Gamma Process and Option Pricing1,786 cited
1990The Variance Gamma (V.G.) Model for Share Market Returns1,470 cited
1972The Distribution of Share Price Changes533 cited
1991Option Pricing With V. G. Martingale Components1411 cited

Cited by

2008A Stochastic Processes Toolkit for Risk Management60 cited
2006Stationary-increment Student and variance-gamma processes49 cited
2016Dependence calibration and portfolio fit with factor-based subordinators32 cited
2008Simulation of Lévy-driven Ornstein–Uhlenbeck processes with given marginal distribution27 cited
2011Estimation of NIG and VG Models for High Frequency Financial Data27 cited
2017COGARCH ( p , q ) : Simulation and Inference with the yuima Package25 cited
2015Modeling share returns - an empirical study on the Variance Gamma model25 cited

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