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q-fin.PR2018
Law-invariant functionals on general spaces of random variables
Fabio Bellini, Pablo Koch-Medina, Cosimo Munari +1
We establish general versions of a variety of results for quasiconvex, lower-semicontinuous, and law-invariant functionals. Our results extend well-known results from the literatur…
q-fin.PR2014★ 3 cited
Option Pricing in a Dynamic Variance-Gamma Model
Lorenzo Mercuri, Fabio Bellini
We present a discrete time stochastic volatility model in which the conditional distribution of the logreturns is a Variance-Gamma, that is a normal variance-mean mixture with Gamm…