Variance-GGC asset price models and their sensitivity analysis

Nicolas Privault; Dichuan Yang

doi:10.1007/978-3-319-30417-5_3

Variance-GGC asset price models and their sensitivity analysis

Nicolas Privault^*, Dichuan Yang

^*Corresponding author for this work

Department of Mathematics

Research output: Chapters, Conference Papers, Creative and Literary Works › RGC 32 - Refereed conference paper (with host publication) › peer-review

Abstract

This paper reviews the variance-gamma asset price model as well as its symmetric and non-symmetric extensions based on generalized gamma convolutions (GGC). In particular we compute the basic characteristics and decomposition of the variance-GGC model, and we consider its sensitivity analysis based on the approach of Kawai and Kohatsu-Higa in Appl Math Finance 17(4):301–321, 2010 [8].

Original language	English
Title of host publication	Springer Proceedings in Mathematics and Statistics
Publisher	Springer New York
Pages	81-101
Volume	158
ISBN (Print)	9783319304168
DOIs	https://doi.org/10.1007/978-3-319-30417-5_3
Publication status	Published - 2016
Event	Statistical Methods and Applications in Finance and Actuarial Science in collaboration with International Centre for Pure and Applied Mathematics, CIMPA 2013 - Mgouna, Morocco Duration: 8 Apr 2013 → 20 Apr 2013

Publication series

Name
Volume	158
ISSN (Print)	2194-1009
ISSN (Electronic)	2194-1017

Conference

Conference	Statistical Methods and Applications in Finance and Actuarial Science in collaboration with International Centre for Pure and Applied Mathematics, CIMPA 2013
Country/Territory	Morocco
City	Mgouna
Period	8/04/13 → 20/04/13

Research Keywords

Sensitivity analysis
Variance-gamma model
Variance-GGC model

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10.1007/978-3-319-30417-5_3

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title = "Variance-GGC asset price models and their sensitivity analysis",

abstract = "This paper reviews the variance-gamma asset price model as well as its symmetric and non-symmetric extensions based on generalized gamma convolutions (GGC). In particular we compute the basic characteristics and decomposition of the variance-GGC model, and we consider its sensitivity analysis based on the approach of Kawai and Kohatsu-Higa in Appl Math Finance 17(4):301–321, 2010 [8].",

keywords = "Sensitivity analysis, Variance-gamma model, Variance-GGC model",

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language = "English",

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publisher = "Springer New York",

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booktitle = "Springer Proceedings in Mathematics and Statistics",

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Privault, N & Yang, D 2016, Variance-GGC asset price models and their sensitivity analysis. in Springer Proceedings in Mathematics and Statistics. vol. 158, Springer New York, pp. 81-101, Statistical Methods and Applications in Finance and Actuarial Science in collaboration with International Centre for Pure and Applied Mathematics, CIMPA 2013, Mgouna, Morocco, 8/04/13. https://doi.org/10.1007/978-3-319-30417-5_3

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AU - Privault, Nicolas

AU - Yang, Dichuan

PY - 2016

Y1 - 2016

N2 - This paper reviews the variance-gamma asset price model as well as its symmetric and non-symmetric extensions based on generalized gamma convolutions (GGC). In particular we compute the basic characteristics and decomposition of the variance-GGC model, and we consider its sensitivity analysis based on the approach of Kawai and Kohatsu-Higa in Appl Math Finance 17(4):301–321, 2010 [8].

AB - This paper reviews the variance-gamma asset price model as well as its symmetric and non-symmetric extensions based on generalized gamma convolutions (GGC). In particular we compute the basic characteristics and decomposition of the variance-GGC model, and we consider its sensitivity analysis based on the approach of Kawai and Kohatsu-Higa in Appl Math Finance 17(4):301–321, 2010 [8].

KW - Sensitivity analysis

KW - Variance-gamma model

KW - Variance-GGC model

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U2 - 10.1007/978-3-319-30417-5_3

DO - 10.1007/978-3-319-30417-5_3

M3 - RGC 32 - Refereed conference paper (with host publication)

SN - 9783319304168

VL - 158

SP - 81

EP - 101

BT - Springer Proceedings in Mathematics and Statistics

PB - Springer New York

T2 - Statistical Methods and Applications in Finance and Actuarial Science in collaboration with International Centre for Pure and Applied Mathematics, CIMPA 2013

Y2 - 8 April 2013 through 20 April 2013

ER -

Variance-GGC asset price models and their sensitivity analysis

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