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Option Pricing Under the Variance Gamma Process

Fiorani, Filo (2004): Option Pricing Under the Variance Gamma Process.

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Abstract

In this dissertation we price European and American vanilla and barrier options assuming that the underlying follows the variance gamma process. We solve numerically the problem implementing a finite difference algorithm and we present numerical experiments on the option pricing. This dissertation includes detailed algorithms as well as programming code in C++ to price European and American vanilla and barrier options under variance gamma.

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