The Variance Gamma Model for Share Market Returns

Madan, D. B., & Seneta, E. (1990). The Variance Gamma Model for Share Market Returns. Journal of Business, 511-524.

Type

Journal article

Intellectual base

Primary research

Year

1990

DOI

10.1086/296519

Link

https://doi.org/10.1086/296519

Cited by

1 citation across 1 artifact.

Domain-specific

• Variance Gamma Process
  • The gamma clock randomizes operational time, turning continuous Brownian evolution into a pure-jump process with stationary independent increments.

Verification

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Registry ID ref:c1e2739f6865 · see in the full table