The Variance Gamma Process and Option Pricing
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Publication:4939318
DOI10.1023/A:1009703431535zbMath0937.91052OpenAlexW2100190417MaRDI QIDQ4939318
Eric C. Chang, Dilip B. Madan, Peter Carr
Publication date: 1998
Published in: Review of Finance (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1023/a:1009703431535
Microeconomic theory (price theory and economic markets) (91B24) Statistical methods; economic indices and measures (91B82)
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for volatility derivatives ⋮ Stochastic Volatility for Lévy Processes ⋮ Multifractal scenarios for products of geometric Lévy-based stationary models ⋮ Valuation of American options under the CGMY model ⋮ A stochastic model for commodity pairs trading ⋮ Smoothing the payoff for efficient computation of Basket option prices ⋮ Singular Fourier–Padé series expansion of European option prices ⋮ Instantaneous portfolio theory ⋮ Pricing options on mean reverting underliers ⋮ OPTION PRICING UNDER THE KOBOL MODEL ⋮ METHOD OF PAIRED CONTOURS AND PRICING BARRIER OPTIONS AND CDSs OF LONG MATURITIES ⋮ Variance-GGC Asset Price Models and Their Sensitivity Analysis ⋮ Fitting the variance-gamma model to financial data ⋮ Extrapolation Analytics for Dupire’s Local Volatility ⋮ Option Pricing in Stochastic Volatility Models of the Ornstein‐Uhlenbeck type ⋮ A risk model driven by Lévy processes ⋮ OPTION PRICING IN THE VARIANCE-GAMMA MODEL UNDER THE DRIFT JUMP ⋮ On the valuation of reverse mortgage insurance ⋮ The valuation of GMWB variable annuities under alternative fund distributions and policyholder behaviours ⋮ Pricing participating policies under the Meixner process and stochastic volatility ⋮ A Simple Stochastic Rate Model for Rate Equity Hybrid Products ⋮ Approximate indifference pricing in exponential Lévy models ⋮ A Radial Basis Function Scheme for Option Pricing in Exponential Lévy Models ⋮ A SIMPLE AMERICAN OPTION PRICING METHOD USING THE FAST FOURIER TRANSFORM ⋮ Option valuation, time-changed processes and the fast Fourier transform ⋮ The implied volatility smirk ⋮ General Lower Bounds for Arithmetic Asian Option Prices ⋮ ON THE ASYMPTOTICS OF FAST MEAN-REVERSION STOCHASTIC VOLATILITY MODELS ⋮ MEASURING AND MONITORING THE EFFICIENCY OF MARKETS ⋮ Computing Greeks for Lévy Models: The Fourier Transform Approach ⋮ A MULTIVARIATE VARIANCE GAMMA MODEL FOR FINANCIAL APPLICATIONS ⋮ PRICING DISCRETELY MONITORED BARRIER OPTIONS AND DEFAULTABLE BONDS IN LÉVY PROCESS MODELS: A FAST HILBERT TRANSFORM APPROACH ⋮ Financial jeopardy ⋮ Return and Value at Risk using the Dirichlet Process ⋮ Option pricing with Weyl–Titchmarsh theory ⋮ Early exercise boundary and option prices in Lévy driven models ⋮ Machine learning for quantitative finance: fast derivative pricing, hedging and fitting ⋮ Marginal consistent dependence modelling using weak subordination for Brownian motions ⋮ Indifference Pricing in a Market with Transaction Costs and Jumps ⋮ Numerical Analysis of Novel Finite Difference Methods ⋮ A CONDITIONAL EQUITY RISK MODEL FOR REGULATORY ASSESSMENT ⋮ An Analytical Valuation Framework for Financial Assets with Trading Suspensions ⋮ EQUILIBRIUM ASSET RETURNS IN FINANCIAL MARKETS ⋮ Generalized Inv-Log-Gamma-G processes ⋮ Short-Time Expansions for Call Options on Leveraged ETFs Under Exponential Lévy Models with Local Volatility ⋮ SOME PRICING TOOLS FOR THE VARIANCE GAMMA MODEL ⋮ Nonparametric estimation of time-changed Lévy models under high-frequency data ⋮ A Multiresolution Method for Parameter Estimation of Diffusion Processes ⋮ APPROXIMATING LÉVY PROCESSES WITH A VIEW TO OPTION PRICING ⋮ SIMPLE PROCESSES AND THE PRICING AND HEDGING OF CLIQUETS ⋮ Semi-parametric modelling in finance: theoretical foundations ⋮ The perception of time, risk and return during periods of speculation ⋮ A two-state jump model ⋮ A semi-parametric approach to risk management ⋮ Valuing Bermudan options when asset returns are Lévy processes ⋮ PRICING OF THE AMERICAN PUT UNDER LÉVY PROCESSES ⋮ LÉVY PROCESSES INDUCED BY DIRICHLET (B‐)SPLINES: MODELING MULTIVARIATE ASSET PRICE DYNAMICS ⋮ Inference procedures for the variance gamma model and applications ⋮ Merton's portfolio optimization problem in a Black and Scholes market with non‐Gaussian stochastic volatility of Ornstein‐Uhlenbeck type ⋮ Pricing Path-Dependent Options with Discrete Monitoring under Time-Changed Lévy Processes ⋮ Small-Maturity Asymptotics for the At-The-Money Implied Volatility Slope in Lévy Models ⋮ Multiscale exponential Lévy-type models ⋮ Option overlay strategies ⋮ Hedging jump risk, expected returns and risk premia in jump-diffusion economies ⋮ Multifractality of products of geometric Ornstein-Uhlenbeck-type processes ⋮ Basket Option Pricing and Implied Correlation in a One-Factor Lévy Model ⋮ A High Order Finite Difference Method for Tempered Fractional Diffusion Equations with Applications to the CGMY Model ⋮ From local volatility to local Lévy models ⋮ OPTION PRICING WITH VG–LIKE MODELS ⋮ Wavelet Galerkin pricing of American options on Lévy driven assets ⋮ Moment swaps ⋮ A NUMERICAL ANALYSIS OF THE EXTENDED BLACK–SCHOLES MODEL ⋮ Option pricing for infinite variance data ⋮ Truncated moment-generating functions of the NIG process and their applications ⋮ Tail Behaviour and Tail Dependence of Generalized Hyperbolic Distributions ⋮ Three Non-Gaussian Models of Dependence in Returns ⋮ Discrete-Time Quadratic Hedging of Barrier Options in Exponential Lévy Model ⋮ A multivariate Lévy process model with linear correlation ⋮ PRICES AND SENSITIVITIES OF BARRIER AND FIRST-TOUCH DIGITAL OPTIONS IN LÉVY-DRIVEN MODELS ⋮ A STOCHASTIC VOLATILITY MODEL FOR RISK-REVERSALS IN FOREIGN EXCHANGE ⋮ Capital requirements, acceptable risks and profits ⋮ Pricing and capital requirements for with profit contracts: modelling considerations ⋮ Conic quantization: stochastic volatility and market implied liquidity ⋮ Stationary-increment Student and variance-gamma processes ⋮ Modelling electricity prices: a time change approach ⋮ Pricing vulnerable options with correlated jump-diffusion processes depending on various states of the economy ⋮ Correcting for Simulation Bias in Monte Carlo Methods to Value Exotic Options in Models Driven by Lévy Processes ⋮ COHERENT RISK MEASURES AND NORMAL MIXTURE DISTRIBUTIONS WITH APPLICATIONS IN PORTFOLIO OPTIMIZATION ⋮ Effective stochastic volatility: applications to ZABR-type models ⋮ A multivariate jump-driven financial asset model ⋮ On The Expected Discounted Penalty function for Lévy Risk Processes ⋮ Volatility dynamics under an endogenous Markov-switching framework: a cross-market approach ⋮ Speed and biases of Fourier-based pricing choices: a numerical analysis
