Abstract
The Variance-Gamma (VG) process is a three parameter stochastic process with respect to a Brownian motion. Here, we consider in our presentation, a detailed study of the VG process expressed as a difference of two gamma processes. As a result, we obtain the basic moments of the process using the characteristic function of the VG process with regard to the parameters of a differenced gamma processes. Also, the Levy-Khintchine formula for the process is derived via the Frullani’s integral. Finally, a modified European call option VG model incorporating a difference of two gamma processes is proposed.
Full Text 
Sign-in/Register to access full text options
Sign-in/Register to access full text options 
Published version (
Free)
Free) 
Talk to us
Join us for a 30 min session where you can share your feedback and ask us any queries you have
Schedule a call
