Download or read book Bondesson s Representation of the Variance Gamma Model and Monte Carlo Option Pricing written by and published by . This book was released on 2009 with total page 37 pages. Available in PDF, EPUB and Kindle. Book excerpt:

Download or read book Efficient Monte Carlo and Quasi Monte Carlo Option Pricing Under the Variance Gamma Model written by and published by . This book was released on 2008 with total page pages. Available in PDF, EPUB and Kindle. Book excerpt: We develop and study efficient Monte Carlo algorithms for pricing path-dependent options with the variance gamma model. The key ingredient is difference-of-gamma bridge sampling, based on the representation of a variance gamma process as the difference of two increasing gamma processes. For typical payoff structures, we obtain a pair of estimators (named low and high) with expectations that are (i) monotone along any such bridge sampler; (ii) contain the continuous-time price. These estimators provide pathwise bounds on unbiased estimators that would be more expensive to compute (infinitely expensive in some situations). By using these bounds together with extrapolation techniques, we obtain significant simulation efficiency improvements by work reduction. We then combine the gamma bridge sampling with randomized quasi-Monte Carlo to reduce the variance and thus improve the efficiency by another important factor. We illustrate the large efficiency improvements on numerical examples for Asian, lookback, and barrier options.

Download or read book Derivatives written by and published by PediaPress. This book was released on with total page 1295 pages. Available in PDF, EPUB and Kindle. Book excerpt:

Download or read book Monte Carlo and Quasi Monte Carlo Methods 2010 written by Leszek Plaskota and published by Springer Science & Business Media. This book was released on 2012-08-23 with total page 721 pages. Available in PDF, EPUB and Kindle. Book excerpt: This book represents the refereed proceedings of the Ninth International Conference on Monte Carlo and Quasi-Monte Carlo Methods in Scientific Computing that was held at the University of Warsaw (Poland) in August 2010. These biennial conferences are major events for Monte Carlo and the premiere event for quasi-Monte Carlo research. The proceedings include articles based on invited lectures as well as carefully selected contributed papers on all theoretical aspects and applications of Monte Carlo and quasi-Monte Carlo methods. The reader will be provided with information on latest developments in these very active areas. The book is an excellent reference for theoreticians and practitioners interested in solving high-dimensional computational problems arising, in particular, in finance and statistics.

Download or read book Financial Derivatives written by and published by PediaPress. This book was released on with total page 1231 pages. Available in PDF, EPUB and Kindle. Book excerpt:

Download or read book Time for a Change written by Harvey J. Stein and published by . This book was released on 2007 with total page 12 pages. Available in PDF, EPUB and Kindle. Book excerpt: The most widely used option pricing model is the Black-Scholes model.We motivate an alternative option pricing model called the Variance Gamma (VG) model and demonstrate its implementation in the Bloomberg system.

Download or read book Computer Engineering and Technology written by Weixia Xu and published by Springer. This book was released on 2019-01-05 with total page 193 pages. Available in PDF, EPUB and Kindle. Book excerpt: This book constitutes the refereed proceedings of the 22nd CCF Conference on Computer Engineering and Technology, NCCET 2018, held in Yinchuan, China, in August 2018. The 17 full papers presented were carefully reviewed and selected from 120 submissions. They address topics such as processor architecture; application specific processors; computer application and software optimization; technology on the horizon.

Download or read book The Variance Gamma Option Pricing Model written by Dilip B. Madan and published by . This book was released on 1997 with total page pages. Available in PDF, EPUB and Kindle. Book excerpt:

Download or read book The Multivariate Variance Gamma Model written by Daniël Linders and published by . This book was released on 2014 with total page pages. Available in PDF, EPUB and Kindle. Book excerpt:

Download or read book Variance Gamma Process in the Option Pricing Model written by Jakub Drahokoupil and published by . This book was released on 2021 with total page pages. Available in PDF, EPUB and Kindle. Book excerpt:

Download or read book Option Pricing Under the Variance Gamma Process written by Filippo Fiorani (t.d.-) and published by . This book was released on 2005 with total page pages. Available in PDF, EPUB and Kindle. Book excerpt:

Download or read book Option Pricing in a Dynamic Variance Gamma Model written by Lorenzo Mercuri and published by . This book was released on 2014 with total page 25 pages. Available in PDF, EPUB and Kindle. Book excerpt: We present a discrete time stochastic volatility model in which the conditional distribution of the logreturns is a Variance-Gamma, that is a normal variance-mean mixture with Gamma mixing density. We assume that the Gamma mixing density is time varying and follows an affine Garch model, trying to capture persistence of volatility shocks and also higher order conditional dynamics in a parsimonious way.We select an equivalent martingale measure by means of the conditional Esscher transform as in Buhlmann et al. (1996) and show that this change of measure leads to a similar dynamics of the mixing distribution. The model admits a recursive procedure for the computation of the characteristic function of the terminal logprice, thus allowing semianalytical pricing as in Heston and Nandi (2000). From an empirical point of view, we check the ability of this model to calibrate SPX option data and we compare it with the Heston and Nandi (2000) model and with the Christoffersen, Heston and Jacobs (2006) model, that is based on Inverse Gaussian innovations.

Download or read book Implementation of the Variance Gamma Model written by Markus Walser and published by . This book was released on 2017 with total page 5 pages. Available in PDF, EPUB and Kindle. Book excerpt: The variance gamma model is a three parameter generalization of Brownian motion as a model for the dynamics of the logarithm of the stock price. Although it is possible to explicitly calculate call and put prices because of some misfortune correct formulas are not available in literature. Here I will present the correct expressions. For completeness I also will provide a recipe for Monte Carlo simulation. The article is meant as an instruction for financial engineers to implement the model correctly.

Download or read book Option Pricing Under the Variance Gamma Process written by Jens Ihlow and published by . This book was released on 2013 with total page 104 pages. Available in PDF, EPUB and Kindle. Book excerpt:

Download or read book Option Price Calibration Around Earning Announcement Dates Using Modified Variance Gamma Models written by and published by . This book was released on 2007 with total page 156 pages. Available in PDF, EPUB and Kindle. Book excerpt:

Download or read book A Dimension and Variance Reduction Monte Carlo Method for Option Pricing Under Jump Diffusion Models written by Duy-Minh Dang and published by . This book was released on 2017 with total page 35 pages. Available in PDF, EPUB and Kindle. Book excerpt: We develop a highly efficient MC method for computing plain vanilla European option prices and hedging parameters under a very general jump-diffusion option pricing model which includes stochastic variance and multi-factor Gaussian interest short rate(s). The focus of our MC approach is variance reduction via dimension reduction. More specifically, the option price is expressed as an expectation of a unique solution to a conditional Partial Integro-Differential Equation (PIDE), which is then solved using a Fourier transform technique. Important features of our approach are (i) the analytical tractability of the conditional PIDE is fully determined by that of the Black-Scholes-Merton model augmented with the same jump component as in our model, and (ii) the variances associated with all the interest rate factors are completely removed when evaluating the expectation via iterated conditioning applied to only the Brownian motion associated with the variance factor. For certain cases when numerical methods are either needed or preferred, we propose a discrete fast Fourier transform method to numerically solve the conditional PIDE efficiently. Our method can also effectively compute hedging parameters. Numerical results show that the proposed method is highly efficient.

Download or read book Option Pricing Using Monte Carlo Simulation written by Padriac Walsh and published by . This book was released on 2006 with total page pages. Available in PDF, EPUB and Kindle. Book excerpt: