Open AccessVARIANCE GAMMA MODEL AND ITS DEVELOPMENT FOR STOCKS CALL OPTION PRICES ESTIMATION
Author(s) -
Bernadet Hilga Palma Paskalia,
Ruth Cornelia Nugraha,
Dhestar Bagus Wirawan
Publication year - 2022
Publication title -
international journal of financial and investment studies (ijfis)
Language(s) - English
Resource type - Journals
ISSN - 2745-3952
DOI - 10.9744/ijfis.3.1.43-51
Subject(s) - variance (accounting) , price variance , econometrics , kurtosis , skewness , variance risk premium , black–scholes model , variance gamma distribution , law of total variance , valuation of options , economics , one way analysis of variance , mathematics , statistics , autoregressive conditional heteroskedasticity , conditional variance , stochastic volatility , volatility (finance) , accounting , estimator , volatility risk premium , asymptotic distribution
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