Variance Gamma process (Y=0)
GPTKB entity
Statements (13)
| Predicate | Object |
|---|---|
| gptkbp:instanceOf |
gptkb:stochastic_process
|
| gptkbp:defines |
subordination of Brownian motion with drift to a Gamma process
|
| gptkbp:has_infinite_activity |
true
|
| gptkbp:has_no_Brownian_component |
true
|
| gptkbp:hasApplication |
option pricing
|
| gptkbp:hasSpecialCase |
gptkb:Variance_Gamma_process
|
| gptkbp:heldBy |
gptkb:stochastic_process
pure jump process |
| https://www.w3.org/2000/01/rdf-schema#label |
Variance Gamma process (Y=0)
|
| gptkbp:parameter |
Y=0
|
| gptkbp:used_in |
mathematical finance
|
| gptkbp:bfsParent |
gptkb:CGMY_process
|
| gptkbp:bfsLayer |
5
|