The Variance Gamma Process and Option Pricing¶

Madan, D. B., Carr, P. P., & Chang, E. C. (1998). The Variance Gamma Process and Option Pricing. European Finance Review, 79-105.

Type: Journal article
Intellectual base: Primary research
Year: 1998
DOI: 10.1023/a:1009703431535
Link: https://doi.org/10.1023/a:1009703431535

Cited by¶

1 citation across 1 artifact.

Domain-specific¶

Variance Gamma Process
- Madan, Carr, and Chang developed the three-parameter process for log-return and option-pricing applications.

Verification¶

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Registry ID ref:d4971491517f · see in the full table