SOME PRICING TOOLS FOR THE VARIANCE GAMMA MODEL

DOI10.1142/S0219024920500259zbMath1448.91289arXiv1912.06031MaRDI QIDQ3304214

Jean-Philippe Aguilar

Publication date: 5 August 2020

Published in: International Journal of Theoretical and Applied Finance (Search for Journal in Brave)

Full work available at URL: https://arxiv.org/abs/1912.06031

zbMATH Keywords

stochastic volatilityoption pricingLévy processvariance gamma process

Mathematics Subject Classification ID

Processes with independent increments; Lévy processes (60G51) Derivative securities (option pricing, hedging, etc.) (91G20)

Related Items (5)

Closed-form option pricing for exponential Lévy models: a residue approach ⋮ Valuation and optimal surrender of variable annuities with guaranteed minimum benefits and periodic fees ⋮ Equity-linked guaranteed minimum death benefits with dollar cost averaging ⋮ A Structural Approach to Default Modelling with Pure Jump Processes ⋮ Finite Mixture Approximation of CARMA(p,q) Models

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