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
modeling heavy tails and skewness in returns |
| gptkbp:hasIncrementProperty |
independent increments
stationary increments |
| gptkbp:hasSpecialCase |
time-changed Brownian motion
|
| https://www.w3.org/2000/01/rdf-schema#label |
variance gamma process
|
| gptkbp:introduced |
Madan, Carr, and Chang
|
| gptkbp:introducedIn |
1998
|
| gptkbp:isLevyProcess |
true
|
| gptkbp:isPureJumpProcess |
true
|
| gptkbp:parameter |
drift
skewness volatility variance rate |
| gptkbp:usedIn |
option pricing
financial modeling |
| gptkbp:bfsParent |
gptkb:stochastic_process
|
| gptkbp:bfsLayer |
4
|