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Explicit representations for the expectations of exponential functionals of the multi-factor variance gamma process and their applications |
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| Authors: | Roman V Ivanov Katsunori Ano |
| Institution: | 1. Laboratory of Control under Incomplete Information, Trapeznikov Institute of Control Sciences of RAS , Moscow, Russian Federation;2. Department of Mathematical Sciences, Shibaura Institute of Technology , Tokyo, Japan |
| Abstract: | In this paper we discuss exponential functionals of the multi-factor variance gamma (VG) process. This process is a generalization of the well-known VG process. We obtain analytically the expectations of the considered functionals. Derived formulas are based on values of generalized hypergeometric functions. Applications of the established results to option pricing are given. |
| Keywords: | Lévyprocess multi-factor variance gamma process analytical expression exponential functional hypergeometric function option pricing |