Variance Gamma distribution

URI: https://gptkb.org/entity/Variance_Gamma_distribution
GPTKB entity
Statements (31)
Predicate Object
gptkbp:instanceOf gptkb:organization
gptkbp:application modeling asset returns
modeling stochastic processes
gptkbp:characteristic closed form
gptkbp:field gptkb:probability_theory
statistics
gptkbp:generalizes gptkb:normal_distribution
gptkb:gamma_distribution
gptkbp:hasKurtosis function of shape parameter
gptkbp:hasMean location parameter
gptkbp:hasSkewness function of skewness parameter
gptkbp:hasSpecialCase generalized hyperbolic distribution
gptkbp:hasVariance function of scale and shape parameters
https://www.w3.org/2000/01/rdf-schema#label Variance Gamma distribution
gptkbp:introduced gptkb:Madan
Seneta
gptkbp:introducedIn 1990
gptkbp:isInfinitelyDivisible true
gptkbp:isLevyProcess true
gptkbp:parameter location parameter
scale parameter
shape parameter
skewness parameter
gptkbp:pdf complex formula involving modified Bessel function
gptkbp:relatedTo gptkb:gamma_process
Brownian motion
gptkbp:supports real line
gptkbp:usedIn option pricing
financial modeling
gptkbp:bfsParent gptkb:Variance_Gamma_process
gptkbp:bfsLayer 6