Option pricing under a Gamma-modulated diffusion process
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DOI: 10.1007/s10436-011-0176-8
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More about this item
Keywords
Option pricing; Gamma process; Long memory; G1; G12; C22;All these keywords.
JEL classification:
- G1 - Financial Economics - - General Financial Markets
- G12 - Financial Economics - - General Financial Markets - - - Asset Pricing; Trading Volume; Bond Interest Rates
- C22 - Mathematical and Quantitative Methods - - Single Equation Models; Single Variables - - - Time-Series Models; Dynamic Quantile Regressions; Dynamic Treatment Effect Models; Diffusion Processes
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