Explicit representations for the expectations of exponential functionals of the multi-factor variance gamma process and their applications

Roman V. Ivanov, Katsunori Ano

Research output: Contribution to journalArticle

3 Citations (Scopus)

Abstract

In this paper we discuss exponential functionals of the multi-factor variance gamma (VG) process. This process is a generalization of the well-known VG process. We obtain analytically the expectations of the considered functionals. Derived formulas are based on values of generalized hypergeometric functions. Applications of the established results to option pricing are given.

Original languageEnglish
Pages (from-to)57-72
Number of pages16
JournalStochastics
Volume88
Issue number1
DOIs
Publication statusPublished - 2016 Jan 2

Fingerprint

Costs

Keywords

  • analytical expression
  • exponential functional
  • hypergeometric function
  • Lévyprocess
  • multi-factor variance gamma process
  • option pricing

ASJC Scopus subject areas

  • Statistics and Probability
  • Modelling and Simulation

Cite this

Explicit representations for the expectations of exponential functionals of the multi-factor variance gamma process and their applications. / Ivanov, Roman V.; Ano, Katsunori.

In: Stochastics, Vol. 88, No. 1, 02.01.2016, p. 57-72.

Research output: Contribution to journalArticle

@article{7d059e63d6c4403bae6be0ed9fc3b0a4,
title = "Explicit representations for the expectations of exponential functionals of the multi-factor variance gamma process and their applications",
abstract = "In this paper we discuss exponential functionals of the multi-factor variance gamma (VG) process. This process is a generalization of the well-known VG process. We obtain analytically the expectations of the considered functionals. Derived formulas are based on values of generalized hypergeometric functions. Applications of the established results to option pricing are given.",
keywords = "analytical expression, exponential functional, hypergeometric function, L{\'e}vyprocess, multi-factor variance gamma process, option pricing",
author = "Ivanov, {Roman V.} and Katsunori Ano",
year = "2016",
month = "1",
day = "2",
doi = "10.1080/17442508.2015.1036432",
language = "English",
volume = "88",
pages = "57--72",
journal = "Stochastics",
issn = "1744-2508",
publisher = "Gordon and Breach Science Publishers",
number = "1",

}

TY - JOUR

T1 - Explicit representations for the expectations of exponential functionals of the multi-factor variance gamma process and their applications

AU - Ivanov, Roman V.

AU - Ano, Katsunori

PY - 2016/1/2

Y1 - 2016/1/2

N2 - In this paper we discuss exponential functionals of the multi-factor variance gamma (VG) process. This process is a generalization of the well-known VG process. We obtain analytically the expectations of the considered functionals. Derived formulas are based on values of generalized hypergeometric functions. Applications of the established results to option pricing are given.

AB - In this paper we discuss exponential functionals of the multi-factor variance gamma (VG) process. This process is a generalization of the well-known VG process. We obtain analytically the expectations of the considered functionals. Derived formulas are based on values of generalized hypergeometric functions. Applications of the established results to option pricing are given.

KW - analytical expression

KW - exponential functional

KW - hypergeometric function

KW - Lévyprocess

KW - multi-factor variance gamma process

KW - option pricing

UR - http://www.scopus.com/inward/record.url?scp=84955421827&partnerID=8YFLogxK

UR - http://www.scopus.com/inward/citedby.url?scp=84955421827&partnerID=8YFLogxK

U2 - 10.1080/17442508.2015.1036432

DO - 10.1080/17442508.2015.1036432

M3 - Article

AN - SCOPUS:84955421827

VL - 88

SP - 57

EP - 72

JO - Stochastics

JF - Stochastics

SN - 1744-2508

IS - 1

ER -