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Bilateral gamma distributions and processes in financial mathematics

Citations

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Cited by:

  1. Kais Hamza & Fima C. Klebaner & Zinoviy Landsman & Ying-Oon Tan, 2014. "Option Pricing for Symmetric L\'evy Returns with Applications," Papers 1402.1554, arXiv.org.
  2. Dilip B. Madan & Wim Schoutens & King Wang, 2020. "Bilateral multiple gamma returns: Their risks and rewards," International Journal of Financial Engineering (IJFE), World Scientific Publishing Co. Pte. Ltd., vol. 7(01), pages 1-27, March.
  3. Yoshihiro Shirai, 2022. "Extreme Measures in Continuous Time Conic Finace," Papers 2210.13671, arXiv.org, revised Oct 2023.
  4. Giorgia Callegaro & Lucio Fiorin & Martino Grasselli, 2019. "Quantization meets Fourier: a new technology for pricing options," Annals of Operations Research, Springer, vol. 282(1), pages 59-86, November.
  5. Küchler, Uwe & Tappe, Stefan, 2013. "Tempered stable distributions and processes," Stochastic Processes and their Applications, Elsevier, vol. 123(12), pages 4256-4293.
  6. Ernst Eberlein & Antonis Papapantoleon & Albert Shiryaev, 2008. "On the duality principle in option pricing: semimartingale setting," Finance and Stochastics, Springer, vol. 12(2), pages 265-292, April.
  7. Küchler, Uwe & Tappe, Stefan, 2008. "On the shapes of bilateral Gamma densities," Statistics & Probability Letters, Elsevier, vol. 78(15), pages 2478-2484, October.
  8. Victor Korolev & Alexander Zeifman, 2023. "Quasi-Exponentiated Normal Distributions: Mixture Representations and Asymmetrization," Mathematics, MDPI, vol. 11(17), pages 1-14, September.
  9. Maha A. Omair & Yusra A. Tashkandy & Sameh Askar & Abdulhamid A. Alzaid, 2022. "Family of Distributions Derived from Whittaker Function," Mathematics, MDPI, vol. 10(7), pages 1-23, March.
  10. Uehara, Yuma, 2019. "Statistical inference for misspecified ergodic Lévy driven stochastic differential equation models," Stochastic Processes and their Applications, Elsevier, vol. 129(10), pages 4051-4081.
  11. Dilip B. Madan & Wim Schoutens, 2020. "Self‐similarity in long‐horizon returns," Mathematical Finance, Wiley Blackwell, vol. 30(4), pages 1368-1391, October.
  12. Dilip B. Madan & King Wang, 2023. "The valuation of corporations: a derivative pricing perspective," Annals of Finance, Springer, vol. 19(1), pages 1-21, March.
  13. Matthias R. Fengler & Alexander Melnikov, 2018. "GARCH option pricing models with Meixner innovations," Review of Derivatives Research, Springer, vol. 21(3), pages 277-305, October.
  14. Schneider, Paul, 2015. "Generalized risk premia," Journal of Financial Economics, Elsevier, vol. 116(3), pages 487-504.
  15. Dilip B. Madan & King Wang, 2022. "Two sided efficient frontiers at multiple time horizons," Annals of Finance, Springer, vol. 18(3), pages 327-353, September.
  16. Filipović, Damir & Mayerhofer, Eberhard & Schneider, Paul, 2013. "Density approximations for multivariate affine jump-diffusion processes," Journal of Econometrics, Elsevier, vol. 176(2), pages 93-111.
  17. Dilip B. Madan & King Wang, 2024. "On the real rate of interest in a closed economy," Annals of Finance, Springer, vol. 20(4), pages 459-477, December.
  18. Xie, Haibin & Wang, Shouyang & Lu, Zudi, 2018. "The behavioral implications of the bilateral gamma process," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 500(C), pages 259-264.
  19. Küchler, Uwe & Tappe, Stefan, 2014. "Exponential stock models driven by tempered stable processes," Journal of Econometrics, Elsevier, vol. 181(1), pages 53-63.
  20. Junting Liu & Qi Wang & Yuanyuan Zhang, 2024. "VIX option pricing through nonaffine GARCH dynamics and semianalytical formula," Journal of Futures Markets, John Wiley & Sons, Ltd., vol. 44(7), pages 1189-1223, July.
  21. Lucio Fiorin & Wim Schoutens, 2020. "Conic quantization: stochastic volatility and market implied liquidity," Quantitative Finance, Taylor & Francis Journals, vol. 20(4), pages 531-542, April.
  22. Pérez-Abreu, Victor & Stelzer, Robert, 2014. "Infinitely divisible multivariate and matrix Gamma distributions," Journal of Multivariate Analysis, Elsevier, vol. 130(C), pages 155-175.
  23. Yoshihiro Shirai, 2023. "Acceptable Bilateral Gamma Parameters," Papers 2301.05333, arXiv.org.
  24. Tomy, Lishamol & Jose, K.K., 2009. "Generalized normal-Laplace AR process," Statistics & Probability Letters, Elsevier, vol. 79(14), pages 1615-1620, July.
  25. Comte, F. & Genon-Catalot, V., 2009. "Nonparametric estimation for pure jump Lévy processes based on high frequency data," Stochastic Processes and their Applications, Elsevier, vol. 119(12), pages 4088-4123, December.
  26. Mei-Ling Ting Lee & George A. Whitmore, 2022. "Multivariate Threshold Regression Models with Cure Rates: Identification and Estimation in the Presence of the Esscher Property," Stats, MDPI, vol. 5(1), pages 1-18, February.
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