Option pricing under a Gamma-modulated diffusion process
Pilar Iglesias (),
Jaime San Martín (),
Soledad Torres () and
Frederi Viens ()
Annals of Finance, 2011, vol. 7, issue 2, pages 199-219
Keywords: Option pricing; Gamma process; Long memory; G1; G12; C22 (search for similar items in EconPapers)
References: View references in EconPapers View complete reference list from CitEc
Citations Track citations by RSS feed
Downloads: (external link)
Access to full text is restricted to subscribers.
This item may be available elsewhere in EconPapers: Search for items with the same title.
Export reference: BibTeX
RIS (EndNote, ProCite, RefMan)
Persistent link: http://EconPapers.repec.org/RePEc:kap:annfin:v:7:y:2011:i:2:p:199-219
Access Statistics for this article
Annals of Finance is edited by C.D. Aliprantis
More articles in Annals of Finance from Springer
Series data maintained by Guenther Eichhorn ().