Option Pricing Under the Variance Gamma Process
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.
|Date of creation:||Apr 2004|
|Date of revision:|
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Web page: https://mpra.ub.uni-muenchen.de
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- repec:dau:papers:123456789/1392 is not listed on IDEAS
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- Geman, Helyette, 2002. "Pure jump Levy processes for asset price modelling," Journal of Banking & Finance, Elsevier, vol. 26(7), pages 1297-1316, July.
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