Type G and spherical distributions on
A class of multivariate distributions obtained by Gaussian randomizations of jumps of a Lévy process is studied. Specifically, exact convenient representations of type G distributions, given that they are of spherical type, are demonstrated. The methodology reveals new ways in extracting families of distributions that may help in understanding various applications that arise in finance. Applications from explicit distributions are also confirmed.
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Volume (Year): 72 (2005)
Issue (Month): 1 (April)
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- Dilip B. Madan & Peter P. Carr & Eric C. Chang, 1998. "The Variance Gamma Process and Option Pricing," Review of Finance, European Finance Association, vol. 2(1), pages 79-105.
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