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, 199-219

Keywords: Option pricing; Gamma process; Long memory; G1; G12; C22 (search for similar items in EconPapers)
Date: 2011
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DOI: 10.1007/s10436-011-0176-8

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