Option Pricing Under the Variance Gamma Process

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

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.

• Item Type: MPRA Paper
• Language: English
• 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

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