# Tag Info

## Hot answers tagged characteristic-function

Accepted

### From VG and NIG processes to GBM

Intuition Yes it is possible. Both, the NIG and the VG process are exponential Lévy processes, i.e. they model the stock price via $S_t=S_0e^{X_t}$, where $X_t$ is a Lévy process. Here's a recent ...
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Accepted

### Complex numbers in VBA

Ahhh complex numbers in Excel VBA, the pinnacle of cubicle programming. Been there, done that! The functions that you quote are indeed returning string types. But ...
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1 vote
Accepted

### Ito's lemma for option pricing with Levy-alpha stable drift

By definition, your $S$ is a continuous process and $$d\langle S\rangle_t=\sigma_S^2\,S_t^2\,dt\,.$$ The applicable Ito formula is the traditional one  dV(t,S_t)=\partial_tV(t,S_t)\,dt+\partial_SV(...
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1 vote

### Characteristic function of CGMY model

Y in the CGMY model is not defined for negative integer values due to divergence of the gamma function at those values, and implicitly the characteristic function. However, in the case of negative non-...
1 vote
Accepted

### Understanding FFT's complex number result on option pricing

As I figured after reading Stephane Crepey's Financial Modelling book the result is meant to be complex, we should only include the real part as the answer something not 100% clear (at least to me) ...
1 vote

### Carr and Madan Fourier Transform

Different fields use different conventions to define the Fourier transform. The one in Carr and Madan is often referred to as the "probabilist's Fourier transform". It coincides with the definition of ...
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