Logo
Munich Personal RePEc Archive

Option Pricing Under the Variance Gamma Process

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

[img]
Preview
PDF
MPRA_paper_15395.pdf

Download (3MB) | Preview

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.

Atom RSS 1.0 RSS 2.0

Contact us: mpra@ub.uni-muenchen.de

This repository has been built using EPrints software.

MPRA is a RePEc service hosted by Logo of the University Library LMU Munich.