The Variance Gamma Process for Option Pricing

By Rohan Shenoy, Peter Kempthorne

Published 2024-08-01

Everscope rating

1587.4

Relevance to quantitative trading

8 / 10

Implementation complexity

7 / 10

Reproducibility

3 / 5

About this paper

Methodology: Variance Gamma Process via Gamma Time-Subordinated Brownian Motion with Esscher Transform. Problem types: Risk Management, Density Estimation, Optimization, Portfolio Optimization.

arXiv:2510.14093 · Paper rankings

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