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)
Date: 2011
References: View references in EconPapers View complete reference list from CitEc
Citations Track citations by RSS feed

Downloads: (external link)
http://hdl.handle.net/10.1007/s10436-011-0176-8 (text/html)
Access to full text is restricted to subscribers.

Related works:
This item may be available elsewhere in EconPapers: Search for items with the same title.

Export reference: BibTeX RIS (EndNote, ProCite, RefMan) HTML/Text

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 ().