What happens to the variance-gamma model as the parameter v tends to zero?

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Options Futures and Other Derivatives

ISBN: 978-0134472089

10th edition

Authors: John C. Hull

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Question Posted: Feb 12, 2018 12:26 PM

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What happens to the variance-gamma model as the parameter v tends to zero?

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As tends to zero the value of becomes with certainty This can be ...View the full answer

Options Futures and Other Derivatives

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