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

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

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