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

Roman V. Ivanov, Katsunori Ano

研究成果: Article査読

3 被引用数 (Scopus)

抄録

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.

本文言語English
ページ(範囲)57-72
ページ数16
ジャーナルStochastics
88
1
DOI
出版ステータスPublished - 2016 1 2

ASJC Scopus subject areas

  • Statistics and Probability
  • Modelling and Simulation

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