15 citations · 66 across the 31 of their papers we have counts for
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q-fin.PR2018
Geometric Local Variance Gamma model
Peter Carr, Andrey Itkin
This paper describes another extension of the Local Variance Gamma model originally proposed by P. Carr in 2008, and then further elaborated on by Carr and Nadtochiy, 2017 (CN2017)…
q-fin.CP2018
An Expanded Local Variance Gamma model
Peter Carr, Andrey Itkin
The paper proposes an expanded version of the Local Variance Gamma model of Carr and Nadtochiy by adding drift to the governing underlying process. Still in this new model it is po…