VarianceGamma: The Variance Gamma Distribution. This package provides functions for the variance gamma distributions. Density, distribution and quantile functions. Functions for random number generation and fitting of the variance gamma to data. Also, functions for computing moments of the variance gamma distribution of any order about any location. In addition, there are functions for checking the validity of parameters and to interchange different sets of parameterizatons for the variance gamma distribution.
Keywords for this software
References in zbMATH (referenced in 2 articles )
Showing results 1 to 2 of 2.
- Gerhart, Christoph: A multiple-curve Lévy forward rate model in a two-price economy (2016)
- Scott, David J.; Würtz, Diethelm; Dong, Christine; Tran, Thanh Tam: Moments of the generalized hyperbolic distribution (2011)