Pricing with Variance Gamma Information

Pricing with Variance Gamma Information

In the information-based pricing framework of Brody, Hughston & Macrina, the market filtration <inline-formula><math display="inline"><semantics><msub><mrow><mo>{</mo><msub><mi mathvariant="script">F</mi><mi>t&...

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Bibliographic Details
Main Authors: Lane P. Hughston, Leandro Sánchez-Betancourt
Format: Article
Language:English
Published: MDPI AG 2020-10-01
Series:Risks
Subjects:
information-based asset pricing
Lévy processes
gamma processes
variance gamma processes
Brownian bridges
gamma bridges
Online Access:https://www.mdpi.com/2227-9091/8/4/105

Internet

https://www.mdpi.com/2227-9091/8/4/105

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