Statements (22)
| Predicate | Object |
|---|---|
| gptkbp:instanceOf |
gptkb:stochastic_process
|
| gptkbp:describes |
asset returns
|
| gptkbp:generalizes |
gptkb:Variance_Gamma_process
|
| gptkbp:hasApplication |
option pricing
risk management |
| gptkbp:hasProperty |
finite variation (for Y<1)
infinite activity |
| gptkbp:hasSpecialCase |
gptkb:Variance_Gamma_process_(Y=0)
tempered stable process |
| https://www.w3.org/2000/01/rdf-schema#label |
CGMY process
|
| gptkbp:introducedIn |
2002
|
| gptkbp:namedAfter |
gptkb:Hélyette_Geman
gptkb:Marc_Yor gptkb:Peter_Carr Madan Dilip |
| gptkbp:parameter |
G
C M Y |
| gptkbp:usedIn |
mathematical finance
|
| gptkbp:bfsParent |
gptkb:stochastic_process
|
| gptkbp:bfsLayer |
4
|