RICHARD FINLAY () (School of Mathematics and Statistics, University of Sydney, F07 University of Sydney, NSW 2006, Australia) EUGENE SENETA () (School of Mathematics and Statistics, University of Sydney, F07 University of Sydney, NSW 2006, Australia)
Additional information is available for the following
registered author(s):
We relax separately two assumptions regarding the Variance Gamma (VG) process and price options accordingly. In the case of the Difference of Gammas model we achieve a better fit to market data than achieved by other comparable models. In the case of the long range dependent VG model, we find that the current "skew-correcting" approach to pricing options has shortcomings, and identify a number of model characteristics (flexible skewness, dependence of squared returns, accommodation of the leverage effect) which appear to be important in achieving a good fit to market data.
Download Info
To download:
If you experience problems downloading a file, check if you have the
proper application to
view it first. Information about this may be contained
in the File-Format links below. In case of further problems read
the IDEAS help
page. Note that these files are not on the IDEAS
site. Please be patient as the files may be large.
As the access to this document is restricted, you may want to look for a different version under "Related research" (further below) or search for a different version of it.