Option Pricing Under the Variance Gamma Process PDF Download
Are you looking for read ebook online? Search for your book and save it on your Kindle device, PC, phones or tablets. Download Option Pricing Under the Variance Gamma Process PDF full book. Access full book title Option Pricing Under the Variance Gamma Process by Filippo Fiorani (t.d.-). Download full books in PDF and EPUB format.
Author: Filippo Fiorani (t.d.-)
Publisher:
ISBN:
Category :
Languages : en
Pages :
Get Book Here
Book Description
Author: Filippo Fiorani (t.d.-)
Publisher:
ISBN:
Category :
Languages : en
Pages :
Get Book Here
Book Description
Author: Jens Ihlow
Publisher:
ISBN:
Category :
Languages : en
Pages : 104
Get Book Here
Book Description
Author: Jakub Drahokoupil
Publisher:
ISBN:
Category :
Languages : en
Pages :
Get Book Here
Book Description
Author: Jun Wang
Publisher:
ISBN:
Category :
Languages : en
Pages :
Get Book Here
Book Description
Author: Roman Ivanov
Publisher:
ISBN:
Category :
Languages : en
Pages : 11
Get Book Here
Book Description
In this paper we primarily obtain the explicit formulas for the distribution function of the variance gamma process. The formulas are based on values of hypergeometric functions. This result is applied to European option pricing. Basing on the established formulas, we get the prices of binary options, as long as the price of European call which was derived firstly in paper by Madan, Carr and Chang (1998).
Author:
Publisher:
ISBN:
Category :
Languages : en
Pages : 106
Get Book Here
Book Description
Author: Michael C. Fu
Publisher: Springer Science & Business Media
ISBN: 0817645454
Category : Business & Economics
Languages : en
Pages : 345
Get Book Here
Book Description
This self-contained volume brings together a collection of chapters by some of the most distinguished researchers and practitioners in the field of mathematical finance and financial engineering. Presenting state-of-the-art developments in theory and practice, the book has real-world applications to fixed income models, credit risk models, CDO pricing, tax rebates, tax arbitrage, and tax equilibrium. It is a valuable resource for graduate students, researchers, and practitioners in mathematical finance and financial engineering.
Author:
Publisher:
ISBN:
Category :
Languages : en
Pages :
Get Book Here
Book Description
We develop and study efficient Monte Carlo algorithms for pricing path-dependent options with the variance gamma model. The key ingredient is difference-of-gamma bridge sampling, based on the representation of a variance gamma process as the difference of two increasing gamma processes. For typical payoff structures, we obtain a pair of estimators (named low and high) with expectations that are (i) monotone along any such bridge sampler; (ii) contain the continuous-time price. These estimators provide pathwise bounds on unbiased estimators that would be more expensive to compute (infinitely expensive in some situations). By using these bounds together with extrapolation techniques, we obtain significant simulation efficiency improvements by work reduction. We then combine the gamma bridge sampling with randomized quasi-Monte Carlo to reduce the variance and thus improve the efficiency by another important factor. We illustrate the large efficiency improvements on numerical examples for Asian, lookback, and barrier options.
Author: 張紘維
Publisher:
ISBN:
Category :
Languages : en
Pages : 0
Get Book Here
Book Description
Author: Yoshio Miyahara
Publisher: World Scientific
ISBN: 1848163487
Category : Electronic books
Languages : en
Pages : 200
Get Book Here
Book Description
This volume offers the reader practical methods to compute the option prices in the incomplete asset markets. The [GLP & MEMM] pricing models are clearly introduced, and the properties of these models are discussed in great detail. It is shown that the geometric L(r)vy process (GLP) is a typical example of the incomplete market, and that the MEMM (minimal entropy martingale measure) is an extremely powerful pricing measure. This volume also presents the calibration procedure of the [GLP \& MEMM] model that has been widely used in the application of practical problem
