The Variance Gamma (V.G.) Model for Share Market Returns
作者： Dilip B. Madan , Eugene Seneta
DOI: 10.1086/296519
关键词:
摘要: A new stochastic process, termed the variance gamma is proposed as a model for uncertainty underlying security prices. The unit period distribution normal conditional on that distributed variate. Its advantages include long tailedness, continuous-time specification, finite moments of all orders, elliptical multivariate distributions, and good empirical fit. process pure jump, approximable by compound Poisson with high jump frequency low magnitudes. Applications to option pricing show differential effects options money, compared in or out money. Copyright 1990 University Chicago.
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