Explicit representations for the expectations of exponential functionals of the multi-factor variance gamma process and their applications

Roman V. Ivanov; Katsunori Ano

doi:10.1080/17442508.2015.1036432

Explicit representations for the expectations of exponential functionals of the multi-factor variance gamma process and their applications

Roman V. Ivanov, Katsunori Ano

Research output: Contribution to journal › Article › peer-review

2 Citations (Scopus)

Abstract

In this paper we discuss exponential functionals of the multi-factor variance gamma (VG) process. This process is a generalization of the well-known VG process. We obtain analytically the expectations of the considered functionals. Derived formulas are based on values of generalized hypergeometric functions. Applications of the established results to option pricing are given.

Original language	English
Pages (from-to)	57-72
Number of pages	16
Journal	Stochastics
Volume	88
Issue number	1
DOIs	https://doi.org/10.1080/17442508.2015.1036432
Publication status	Published - 2016 Jan 2

Keywords

analytical expression
exponential functional
hypergeometric function
Lévyprocess
multi-factor variance gamma process
option pricing

ASJC Scopus subject areas

Statistics and Probability
Modelling and Simulation

Access to Document

10.1080/17442508.2015.1036432

Cite this

@article{7d059e63d6c4403bae6be0ed9fc3b0a4,

title = "Explicit representations for the expectations of exponential functionals of the multi-factor variance gamma process and their applications",

abstract = "In this paper we discuss exponential functionals of the multi-factor variance gamma (VG) process. This process is a generalization of the well-known VG process. We obtain analytically the expectations of the considered functionals. Derived formulas are based on values of generalized hypergeometric functions. Applications of the established results to option pricing are given.",

keywords = "analytical expression, exponential functional, hypergeometric function, L{\'e}vyprocess, multi-factor variance gamma process, option pricing",

author = "Ivanov, {Roman V.} and Katsunori Ano",

year = "2016",

month = jan,

day = "2",

doi = "10.1080/17442508.2015.1036432",

language = "English",

volume = "88",

pages = "57--72",

journal = "Stochastics",

issn = "1744-2508",

publisher = "Gordon and Breach Science Publishers",

number = "1",

}

TY - JOUR

T1 - Explicit representations for the expectations of exponential functionals of the multi-factor variance gamma process and their applications

AU - Ivanov, Roman V.

AU - Ano, Katsunori

PY - 2016/1/2

Y1 - 2016/1/2

N2 - In this paper we discuss exponential functionals of the multi-factor variance gamma (VG) process. This process is a generalization of the well-known VG process. We obtain analytically the expectations of the considered functionals. Derived formulas are based on values of generalized hypergeometric functions. Applications of the established results to option pricing are given.

AB - In this paper we discuss exponential functionals of the multi-factor variance gamma (VG) process. This process is a generalization of the well-known VG process. We obtain analytically the expectations of the considered functionals. Derived formulas are based on values of generalized hypergeometric functions. Applications of the established results to option pricing are given.

KW - analytical expression

KW - exponential functional

KW - hypergeometric function

KW - Lévyprocess

KW - multi-factor variance gamma process

KW - option pricing

UR - http://www.scopus.com/inward/record.url?scp=84955421827&partnerID=8YFLogxK

UR - http://www.scopus.com/inward/citedby.url?scp=84955421827&partnerID=8YFLogxK

U2 - 10.1080/17442508.2015.1036432

DO - 10.1080/17442508.2015.1036432

M3 - Article

AN - SCOPUS:84955421827

SN - 1744-2508

VL - 88

SP - 57

EP - 72

JO - Stochastics

JF - Stochastics

IS - 1

ER -

Explicit representations for the expectations of exponential functionals of the multi-factor variance gamma process and their applications

Abstract

Keywords

ASJC Scopus subject areas

Access to Document

Other files and links

Fingerprint

Cite this