Add to ORKGVariance Gamma process is a three parameter process which generalizes the geomet-ric Brownian motion. In this work we study how to price options assuming that the underlying follows this process. We solve numerically the problem implementing a fi-nite difference algorithm which allows to price both European and American options. Moreover we present a comparison with the Geometric Brownian motion results, par-ticularly in terms of implied volatility.
The methodology of pricing financial derivatives, particularly stock options, was first introduced b...
We study algorithms for sampling discrete-time paths of a gamma process and a variance gamma process...
ABSTRACT American options are considered in a market where the underlying asset follows a Variance G...
We derive a form of the partial integro-differential equation (PIDE) for pricing American options un...
The submitted work deals with option pricing. Mathematical approach is immediately followed by an ec...
This dissertation reports on a study of the pricing of European, Bermudan and American put options w...
The purpose of this article is to introduce a new L\'evy process, termed Variance Gamma++ process, t...
We use a multivariate variance gamma process developed by Jun Wang (2009) and a similarly constructe...
We introduce a pricing model for equity options in which sample paths follow a variance-gamma (VG) j...
In this dissertation we price European and American vanilla and barrier options assuming that the un...
The purpose of this article is to introduce a new Levy process, termed the Variance Gamma++ process,...
We reformulate the Lévy-Kintchine formula to make it suitable for modelling the stochastic time-chan...
In this paper, we test the three-parameter symmetric variance gamma (SVG) option pricing model and t...
We apply the variance-gamma (VG) option-pricing model to currency options. The model is a pure infin...
The authors develop a new Monte Carlo-based method for pricing path-dependent options under the vari...
The methodology of pricing financial derivatives, particularly stock options, was first introduced b...
We study algorithms for sampling discrete-time paths of a gamma process and a variance gamma process...
ABSTRACT American options are considered in a market where the underlying asset follows a Variance G...
We derive a form of the partial integro-differential equation (PIDE) for pricing American options un...
The submitted work deals with option pricing. Mathematical approach is immediately followed by an ec...
This dissertation reports on a study of the pricing of European, Bermudan and American put options w...
The purpose of this article is to introduce a new L\'evy process, termed Variance Gamma++ process, t...
We use a multivariate variance gamma process developed by Jun Wang (2009) and a similarly constructe...
We introduce a pricing model for equity options in which sample paths follow a variance-gamma (VG) j...
In this dissertation we price European and American vanilla and barrier options assuming that the un...
The purpose of this article is to introduce a new Levy process, termed the Variance Gamma++ process,...
We reformulate the Lévy-Kintchine formula to make it suitable for modelling the stochastic time-chan...
In this paper, we test the three-parameter symmetric variance gamma (SVG) option pricing model and t...
We apply the variance-gamma (VG) option-pricing model to currency options. The model is a pure infin...
The authors develop a new Monte Carlo-based method for pricing path-dependent options under the vari...
The methodology of pricing financial derivatives, particularly stock options, was first introduced b...
We study algorithms for sampling discrete-time paths of a gamma process and a variance gamma process...
ABSTRACT American options are considered in a market where the underlying asset follows a Variance G...