Statements (27)
| Predicate | Object |
|---|---|
| gptkbp:instanceOf |
gptkb:stochastic_process
|
| gptkbp:alternativeTo |
gptkb:Black-Scholes_model
|
| gptkbp:capturedBy |
kurtosis
skewness |
| gptkbp:characteristic |
closed form
|
| gptkbp:distributedBy |
gptkb:Variance_Gamma_distribution
|
| gptkbp:field |
gptkb:mathematics
finance |
| gptkbp:generalizes |
Brownian motion
|
| gptkbp:hasFinite |
variation
|
| gptkbp:hasInfinite |
physical activity
|
| gptkbp:hasNo |
diffusion component
|
| gptkbp:heldBy |
gptkb:stochastic_process
pure jump process |
| https://www.w3.org/2000/01/rdf-schema#label |
Variance Gamma process
|
| gptkbp:introduced |
Madan, Carr, and Chang
|
| gptkbp:introducedIn |
1998
|
| gptkbp:isSubordinatorOf |
Brownian motion
|
| gptkbp:parameter |
drift
volatility variance rate |
| gptkbp:subordinatedBy |
gptkb:Gamma_process
|
| gptkbp:usedFor |
modeling asset returns
|
| gptkbp:usedIn |
option pricing
financial modeling |
| gptkbp:bfsParent |
gptkb:CGMY_process
|
| gptkbp:bfsLayer |
5
|