Variance-gamma Bessel-type distribution
VarianceGammaDistribution[λ, α, β, μ]
Mean[VarianceGammaDistribution[λ, α, β, μ]]
→ (2*β*λ)/((α - β)*(α + β)) + μVariance[VarianceGammaDistribution[λ, α, β, μ]]
→ (2*(α^2 + β^2)*λ)/((α - β)^2*(α + β)^2)Plot[Table[PDF[VarianceGammaDistribution[λ, .8, .3, 0], x], {λ, {.5, 1, 2}}]//Evaluate, {x, -2, 2}, Filling -> Axis]
→ -Graphics-