Variance Gamma Process in the Option Pricing Model PDF Download
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Author: Jakub Drahokoupil
Publisher:
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Category :
Languages : en
Pages :
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Author: Jakub Drahokoupil
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Languages : en
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Author: Filippo Fiorani (t.d.-)
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Category :
Languages : en
Pages :
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Author: Jens Ihlow
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Category :
Languages : en
Pages : 104
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Author:
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Category :
Languages : en
Pages : 106
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Author: Roman Ivanov
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Category :
Languages : en
Pages : 11
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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: Jun Wang
Publisher:
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Category :
Languages : en
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Author: Michael C. Fu
Publisher: Springer Science & Business Media
ISBN: 0817645454
Category : Business & Economics
Languages : en
Pages : 345
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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: Dilip B. Madan
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Category :
Languages : en
Pages :
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Author: Harvey J. Stein
Publisher:
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Category :
Languages : en
Pages : 12
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The most widely used option pricing model is the Black-Scholes model.We motivate an alternative option pricing model called the Variance Gamma (VG) model and demonstrate its implementation in the Bloomberg system.
Author: 張紘維
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ISBN:
Category :
Languages : en
Pages : 0
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