Geometric local variance gamma model

Computer Science

• piecewise linear 100%
• Optimization Problem 50%
• Algebraic Equation 50%
• Brownian Motion 50%
• Linear Function 50%
• Constant Function 50%

Mathematics

• Variance 100%
• Piecewise Linear 20%
• Brownian Motion 10%
• Ordinary Differential Equation 10%
• Linear Function 10%
• Closed Form 10%
• Constant Function 10%
• Linear Models 10%
• Quadratic Function 10%
• Option Price 10%
• Nonlinear Algebraic Equation 10%

Keyphrases

• Piecewise Quadratic Function 10%
• Arithmetic Brownian Motion 10%
• Option Smile 10%