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Bondesson Series


A series representation that is used for generating the model procedure: the so-called variance gamma process in pricing average rate options (Asian options). It helps to obtain a nonnegative infinitely divisible random variable as a shot noise (gamma random variable) with exponential shot-distribution and exponential response function. This involves a sequence of standard exponential variables independent of preceding and succeeding values.



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Derivatives have increasingly become very important tools in finance over the last three decades. Many different types of derivatives are now traded actively on ...
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