3 papers
math.PR2026
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…
q-fin.CP2025
Fast and explicit European option pricing under tempered stable processes
Gaetano Agazzotti, Jean-Philippe Aguilar
We provide series expansions for the tempered stable densities and for the price of European-style contracts in the exponential Lévy model driven by the tempered stable process. T…
q-fin.PR2025
Calibration and Option Pricing with Stochastic Volatility and Double Exponential Jumps
Gaetano Agazzotti, Claudio Aglieri Rinella, Jean-Philippe Aguilar +1
This work examines a stochastic volatility model with double-exponential jumps in the context of option pricing. The model has been considered in previous research articles, but no…