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The Analytical Formula for the Distribution Function of the Variance Gamma Process and its Application to Option Pricing

https://doi.org/10.2139/ssrn.2617237
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14/14 checkable references clean · checked 2026-08-05

Every reference with a DOI in the deposited reference list resolved to a known work in Crossref or DataCite at the dated check, and none carried a retraction, withdrawal, or removal notice.

5 without a DOI — not checked. A reference deposited without a DOI is never matched by title or guessed at; it stays outside the checked set, and this line discloses that.

The 14 checked references that resolve
resolves10.1080/13504860600724885
On American Options Under the Variance Gamma Process
resolves10.21314/jcf.1999.043
Option valuation using the fast Fourier transform
resolves10.1007/978-1-4614-7248-3_3
Fourier-Based Valuation Methods in Mathematical Finance
resolves10.1007/s00780-008-0061-0
On the duality principle in option pricing: semimartingale setting
resolves10.21314/jcf.2003.112
Pricing American options under variance gamma
resolves10.1080/15326349.2013.838509
Closed Form Pricing of European Options for a Family of Normal-Inverse Gaussian Processes
resolves10.1201/9781420076196
Monte Carlo Methods and Models in Finance and Insurance
resolves10.1111/j.1467-9965.1991.tb00018.x
Option Pricing With V. G. Martingale Components<sup>1</sup>
resolves10.1023/a:1009703431535
The Variance Gamma Process and Option Pricing
resolves10.1007/978-3-662-22132-7
Martingale Methods in Financial Modelling
resolves10.1007/s11147-010-9057-y
The β-variance gamma model
resolves10.1142/s0219024908004701
A MULTIVARIATE VARIANCE GAMMA MODEL FOR FINANCIAL APPLICATIONS
resolves10.1142/3907
Essentials of Stochastic Finance
resolves10.1007/978-0-8176-4545-8_3
Some Remarkable Properties of Gamma Processes
The 5 references without a DOI — listed, not checked
no DOI — not checkedref5
no DOI — not checkedModel for Share Market Returns
no DOI — not checkedref13
no DOI — not checkedThe Early Years of the VarianceGamma Process
no DOI — not checkedref18
What this badge says. CiteStamped means the CHECKABLE references of this work were clean at the dated check: each resolved to a known work in a public registry, and none carried a retraction notice at that time. It says nothing about the quality, findings, or importance of the work itself, and nothing about references deposited without a DOI.

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