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The β-variance gamma model

Author

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  • Wim Schoutens
  • Geert Damme

Abstract

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Suggested Citation

  • Wim Schoutens & Geert Damme, 2011. "The β-variance gamma model," Review of Derivatives Research, Springer, vol. 14(3), pages 263-282, October.
    • Handle: RePEc:kap:revdev:v:14:y:2011:i:3:p:263-282
    DOI: 10.1007/s11147-010-9057-y
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    References listed on IDEAS

    as
    1. 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.
    2. Merton, Robert C, 1974. "On the Pricing of Corporate Debt: The Risk Structure of Interest Rates," Journal of Finance, American Finance Association, vol. 29(2), pages 449-470, May.
    3. Nan Chen & S. G. Kou, 2009. "Credit Spreads, Optimal Capital Structure, And Implied Volatility With Endogenous Default And Jump Risk," Mathematical Finance, Wiley Blackwell, vol. 19(3), pages 343-378, July.
    4. Joseph Abate & Ward Whitt, 1995. "Numerical Inversion of Laplace Transforms of Probability Distributions," INFORMS Journal on Computing, INFORMS, vol. 7(1), pages 36-43, February.
    Full references (including those not matched with items on IDEAS)

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    Cited by:

    1. Holger Fink & Stefan Mittnik, 2021. "Quanto Pricing beyond Black–Scholes," JRFM, MDPI, vol. 14(3), pages 1-27, March.

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    More about this item

    Keywords

    Levy processes; Hitting probability; Barrier options; C60; C16; C02;
    All these keywords.

    JEL classification:

    • C60 - Mathematical and Quantitative Methods - - Mathematical Methods; Programming Models; Mathematical and Simulation Modeling - - - General
    • C16 - Mathematical and Quantitative Methods - - Econometric and Statistical Methods and Methodology: General - - - Econometric and Statistical Methods; Specific Distributions
    • C02 - Mathematical and Quantitative Methods - - General - - - Mathematical Economics

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