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- Variance-gamma_distribution abstract "The variance-gamma distribution, generalized Laplace distribution or Bessel function distribution is a continuous probability distribution that is defined as the normal variance-mean mixture where the mixing density is the gamma distribution. The tails of the distribution decrease more slowly than the normal distribution. It is therefore suitable to model phenomena where numerically large values are more probable than is the case for the normal distribution. Examples are returns from financial assets and turbulent wind speeds. The distribution was introduced in the financial literature by Madan and Seneta. The variance-gamma distributions form a subclass of the generalised hyperbolic distributions.The fact that there is a simple expression for the moment generating function implies that simple expressions for all moments are available. The class of variance-gamma distributions is closed under convolution in the following sense. If and are independent random variables that are variance-gamma distributed with the same values of the parameters and , but possibly different values of the other parameters, , and , respectively, then is variance-gamma distributed with parameters and The Variance Gamma distribution can also be expressed in terms of three inputs parameters (C,G,M) denoted after the initials of its founders. If the "C", here, parameter is integer then the distribution has a closed form 2-EPT distribution. See 2-EPT Probability Density Function. Under this restriction closed form option prices can be derived.See also Variance gamma process.Differential equationx>ux<u".
- Variance-gamma_distribution wikiPageID "6534096".
- Variance-gamma_distribution wikiPageRevisionID "604915536".
- Variance-gamma_distribution hasPhotoCollection Variance-gamma_distribution.
- Variance-gamma_distribution name "variance-gamma distribution".
- Variance-gamma_distribution parameters Location_parameter.
- Variance-gamma_distribution parameters "asymmetry parameter".
- Variance-gamma_distribution pdf "denotes a modified Bessel function of the second kind".
- Variance-gamma_distribution pdf "denotes the Gamma function".
- Variance-gamma_distribution type "density".
- Variance-gamma_distribution subject Category:Continuous_distributions.
- Variance-gamma_distribution subject Category:Probability_distributions.
- Variance-gamma_distribution type Abstraction100002137.
- Variance-gamma_distribution type Arrangement105726596.
- Variance-gamma_distribution type Cognition100023271.
- Variance-gamma_distribution type ContinuousDistributions.
- Variance-gamma_distribution type Distribution105729036.
- Variance-gamma_distribution type PsychologicalFeature100023100.
- Variance-gamma_distribution type Structure105726345.
- Variance-gamma_distribution comment "The variance-gamma distribution, generalized Laplace distribution or Bessel function distribution is a continuous probability distribution that is defined as the normal variance-mean mixture where the mixing density is the gamma distribution. The tails of the distribution decrease more slowly than the normal distribution. It is therefore suitable to model phenomena where numerically large values are more probable than is the case for the normal distribution.".
- Variance-gamma_distribution label "Variance-gamma distribution".
- Variance-gamma_distribution label "Распределение variance-gamma".
- Variance-gamma_distribution sameAs m.0g98zm.
- Variance-gamma_distribution sameAs Q4390268.
- Variance-gamma_distribution sameAs Q4390268.
- Variance-gamma_distribution sameAs Variance-gamma_distribution.
- Variance-gamma_distribution wasDerivedFrom Variance-gamma_distribution?oldid=604915536.
- Variance-gamma_distribution isPrimaryTopicOf Variance-gamma_distribution.