Bilateral gamma distributions and processes in financial mathematics

Stochastic Processes and their Applications

Volumn 118, Issue 2, 2008, Pages 261-283

  Küchler, Uwe ^a   Tappe, Stefan ^b  

^a HUMBOLDT UNIVERSITY   (Germany)

^b UNIVERSITY OF MUNICH   (Germany)

Author keywords

Bilateral Gamma distributions; Bilateral Gamma processes; Measure transformations; Option pricing; Parameter estimation; Stock models; Term structure models

Indexed keywords

ASYMPTOTIC STABILITY; MATHEMATICAL MODELS; MATHEMATICAL TRANSFORMATIONS; PARAMETER ESTIMATION;

BILATERAL GAMMA DISTRIBUTIONS; FINANCIAL MATHEMATICS; GAMMA PROCESSES; MEASURE TRANSFORMATIONS; OPTION PRICING; STOCK MODELS; TERM STRUCTURE MODELS;

RANDOM PROCESSES;

EID: 37249022808     PISSN: 03044149     EISSN: None     Source Type: Journal    
DOI: 10.1016/j.spa.2007.04.006     Document Type: Article

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