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An empirical test of the variance gamma option pricing model

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  • Lam, K.
  • Chang, E.
  • Lee, M. C.

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  • Lam, K. & Chang, E. & Lee, M. C., 2002. "An empirical test of the variance gamma option pricing model," Pacific-Basin Finance Journal, Elsevier, vol. 10(3), pages 267-285, June.
    • Handle: RePEc:eee:pacfin:v:10:y:2002:i:3:p:267-285
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    1. Dilip B. Madan & Peter P. Carr & Eric C. Chang, 1998. "The Variance Gamma Process and Option Pricing," Review of Finance, European Finance Association, vol. 2(1), pages 79-105.
    2. Hutchinson, James M & Lo, Andrew W & Poggio, Tomaso, 1994. "A Nonparametric Approach to Pricing and Hedging Derivative Securities via Learning Networks," Journal of Finance, American Finance Association, vol. 49(3), pages 851-889, July.
    3. Dilip B. Madan & Frank Milne, 1991. "Option Pricing With V. G. Martingale Components1," Mathematical Finance, Wiley Blackwell, vol. 1(4), pages 39-55, October.
    4. Bakshi, Gurdip & Cao, Charles & Chen, Zhiwu, 1997. "Empirical Performance of Alternative Option Pricing Models," Journal of Finance, American Finance Association, vol. 52(5), pages 2003-2049, December.
    5. Naik, Vasanttilak, 1993. "Option Valuation and Hedging Strategies with Jumps in the Volatility of Asset Returns," Journal of Finance, American Finance Association, vol. 48(5), pages 1969-1984, December.
    6. Bates, David S, 1996. "Jumps and Stochastic Volatility: Exchange Rate Processes Implicit in Deutsche Mark Options," The Review of Financial Studies, Society for Financial Studies, vol. 9(1), pages 69-107.
    7. Madan, Dilip B & Seneta, Eugene, 1990. "The Variance Gamma (V.G.) Model for Share Market Returns," The Journal of Business, University of Chicago Press, vol. 63(4), pages 511-524, October.
    8. Duan, Jin-Chuan & Zhang, Hua, 2001. "Pricing Hang Seng Index options around the Asian financial crisis - A GARCH approach," Journal of Banking & Finance, Elsevier, vol. 25(11), pages 1989-2014, November.
    9. Johnson, Herb & Shanno, David, 1987. "Option Pricing when the Variance Is Changing," Journal of Financial and Quantitative Analysis, Cambridge University Press, vol. 22(2), pages 143-151, June.
    10. Merton, Robert C., 1976. "Option pricing when underlying stock returns are discontinuous," Journal of Financial Economics, Elsevier, vol. 3(1-2), pages 125-144.
    11. Naik, Vasanttilak & Lee, Moon, 1990. "General Equilibrium Pricing of Options on the Market Portfolio with Discontinuous Returns," The Review of Financial Studies, Society for Financial Studies, vol. 3(4), pages 493-521.
    12. Mark Rubinstein., 1994. "Implied Binomial Trees," Research Program in Finance Working Papers RPF-232, University of California at Berkeley.
    13. Scott, Louis O., 1987. "Option Pricing when the Variance Changes Randomly: Theory, Estimation, and an Application," Journal of Financial and Quantitative Analysis, Cambridge University Press, vol. 22(4), pages 419-438, December.
    14. Saikat Nandi, 1996. "Pricing and hedging index options under stochastic volatility: an empirical examination," FRB Atlanta Working Paper 96-9, Federal Reserve Bank of Atlanta.
    15. Robert JARROW & Andrew RUDD, 2008. "Approximate Option Valuation For Arbitrary Stochastic Processes," World Scientific Book Chapters, in: Financial Derivatives Pricing Selected Works of Robert Jarrow, chapter 1, pages 9-31, World Scientific Publishing Co. Pte. Ltd..
    16. Wiggins, James B., 1987. "Option values under stochastic volatility: Theory and empirical estimates," Journal of Financial Economics, Elsevier, vol. 19(2), pages 351-372, December.
    17. Michael G. Papaioannou & Tugrul Temel, 1993. "Portfolio Performance of the SDR and Reserve Currencies: Tests Using the ARCH Methodology," IMF Staff Papers, Palgrave Macmillan, vol. 40(3), pages 663-679, September.
    18. Merton, Robert C, 1976. "The Impact on Option Pricing of Specification Error in the Underlying Stock Price Returns," Journal of Finance, American Finance Association, vol. 31(2), pages 333-350, May.
    19. Heston, Steven L, 1993. "Invisible Parameters in Option Prices," Journal of Finance, American Finance Association, vol. 48(3), pages 933-947, July.
    20. Jin‐Chuan Duan, 1995. "The Garch Option Pricing Model," Mathematical Finance, Wiley Blackwell, vol. 5(1), pages 13-32, January.
    21. Rubinstein, Mark, 1994. "Implied Binomial Trees," Journal of Finance, American Finance Association, vol. 49(3), pages 771-818, July.
    22. Hull, John C & White, Alan D, 1987. "The Pricing of Options on Assets with Stochastic Volatilities," Journal of Finance, American Finance Association, vol. 42(2), pages 281-300, June.
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    Cited by:

    1. Kazi Wahadul Hasan & Maliha Binte Hanif, 2022. "A pricing model for real-estate business in Bangladesh incorporating the uncertainty in buyer’s readiness: considerations during COVID-19 pandemic," SN Business & Economics, Springer, vol. 2(10), pages 1-16, October.
    2. Maciej Wysocki & Robert 'Slepaczuk, 2024. "Construction and Hedging of Equity Index Options Portfolios," Papers 2407.13908, arXiv.org.
    3. Fiorani, Filo, 2004. "Option Pricing Under the Variance Gamma Process," MPRA Paper 15395, University Library of Munich, Germany.
    4. Kim, In Joon & Kim, Sol, 2004. "Empirical comparison of alternative stochastic volatility option pricing models: Evidence from Korean KOSPI 200 index options market," Pacific-Basin Finance Journal, Elsevier, vol. 12(2), pages 117-142, April.
    5. Bartłomiej Bollin & Robert Ślepaczuk, 2020. "Variance Gamma Model in Hedging Vanilla and Exotic Options," Working Papers 2020-31, Faculty of Economic Sciences, University of Warsaw.
    6. Han, Chuan-Hsiang & Chang, Chien-Hung & Kuo, Chii-Shyan & Yu, Shih-Ti, 2015. "Robust hedging performance and volatility risk in option markets: Application to Standard and Poor's 500 and Taiwan index options," International Review of Economics & Finance, Elsevier, vol. 40(C), pages 160-173.
    7. Olesia Verchenko, 2011. "Testing option pricing models: complete and incomplete markets," Discussion Papers 38, Kyiv School of Economics.

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