most citedCalibration and Option Pricing with Stochastic Volatility and Double Exponential Jumps

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math.PR2024

The bilateral generalized inverse Gaussian process with applications to financial modeling

Gaetano Agazzotti, Jean-Philippe Aguilar

We introduce and document a class of probability distributions, called bilateral generalized inverse Gaussian (BGIG) distributions, that are obtained by convolution of two generali…