Geometric Local Variance Gamma Model
In: Fitting Local Volatility Analytic and Numerical Approaches in Black-Scholes and Local Variance Gamma Models
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- Peter Carr & Andrey Itkin, 2018. "Geometric Local Variance Gamma model," Papers 1809.07727, arXiv.org, revised Dec 2018.
References listed on IDEAS
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- P. Carr & A. Itkin, 2021.
"An Expanded Local Variance Gamma Model,"
Computational Economics, Springer;Society for Computational Economics, vol. 57(4), pages 949-987, April.
- Andrey Itkin, 2020. "An Expanded Local Variance Gamma Model," World Scientific Book Chapters, in: Fitting Local Volatility Analytic and Numerical Approaches in Black-Scholes and Local Variance Gamma Models, chapter 5, pages 101-136, World Scientific Publishing Co. Pte. Ltd..
- Peter Carr & Andrey Itkin, 2018. "An Expanded Local Variance Gamma model," Papers 1802.09611, arXiv.org, revised Dec 2018.
- Andrey Itkin & Alexander Lipton, 2016. "Filling the gaps smoothly," Papers 1608.05145, arXiv.org.
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More about this item
Keywords
Local Volatility; Stochastic Clock; Geometric Process; Gamma Distribution; Piecewise Linear Volatility; Variance Gamma Process; Closed Form Solution; Fast Calibration; No-Arbitrage;All these keywords.
JEL classification:
- C6 - Mathematical and Quantitative Methods - - Mathematical Methods; Programming Models; Mathematical and Simulation Modeling
- C02 - Mathematical and Quantitative Methods - - General - - - Mathematical Economics
- C63 - Mathematical and Quantitative Methods - - Mathematical Methods; Programming Models; Mathematical and Simulation Modeling - - - Computational Techniques
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