Statements (23)
| Predicate | Object |
|---|---|
| gptkbp:instanceOf |
gptkb:stochastic_process
|
| gptkbp:distributedBy |
variance gamma distribution
|
| gptkbp:field |
gptkb:mathematics
finance |
| gptkbp:generalizes |
Brownian motion
|
| gptkbp:hasApplication |
modeling asset returns
|
| gptkbp:hasFiniteVariance |
true
|
| gptkbp:hasInfiniteActivity |
true
|
| gptkbp:hasNoDiffusionComponent |
true
|
| https://www.w3.org/2000/01/rdf-schema#label |
Variance gamma process
|
| gptkbp:introduced |
gptkb:Madan
Seneta |
| gptkbp:introducedIn |
1990
|
| gptkbp:isLévyProcess |
true
|
| gptkbp:isMarkovProcess |
true
|
| gptkbp:isPureJumpProcess |
true
|
| gptkbp:isTimeChangedBrownianMotion |
true
|
| gptkbp:parameter |
drift
volatility variance rate |
| gptkbp:usedIn |
option pricing
|
| gptkbp:bfsParent |
gptkb:Lévy_process_L_t
|
| gptkbp:bfsLayer |
6
|