A new affine stochastic volatility model with normal variance - mean mixture

We present a new model where the distribution of innovations is a Normal variance-mean mixture. In the model, the mixing process follows an affine Garch model with Gamma innovations, then we obtain a recursive procedure for the characteristic function of the logprices and we evaluate a European call by inverse Fourier Transform. The model admits the Garch model with Gamma innovations and the Variance-Gamma model as special cases.