Fiorani, Filo (2004): Option Pricing Under the Variance Gamma Process.
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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.
|Item Type:||MPRA Paper|
|Original Title:||Option Pricing Under the Variance Gamma Process|
|Keywords:||Variance Gamma Process; Option Pricing Under Variance Gamma; Numerical Solution of Option Prices Under Variance Gamma; Numerical Solution of Variance Gamma PIDE; Numerical Solutions of Variance Gamma Partial Differential Equation; Programming Code for Variance Gamma Option Pricing|
|Subjects:||G - Financial Economics > G1 - General Financial Markets > G12 - Asset Pricing; Trading volume; Bond Interest Rates
C - Mathematical and Quantitative Methods > C0 - General > C00 - General
G - Financial Economics > G1 - General Financial Markets > G13 - Contingent Pricing; Futures Pricing
|Depositing User:||Filo Fiorani|
|Date Deposited:||03. Jun 2009 00:12|
|Last Modified:||12. Feb 2013 11:15|
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