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 Estimation and Calibration of a Dynamic Variance Gamma Model Using Vix Data written by Lorenzo Mercuri and published by . This book was released on 2015 with total page 16 pages. Available in PDF, EPUB and Kindle. Book excerpt: The aim of this paper is to investigate the ability of the Dynamic Variance Gamma model, recently proposed by Bellini and Mercuri (2010), to evaluate option prices on the S&P500 index. We also provide a simple relation between the Dynamic Variance Gamma model and the Vix index. We use this result to build a maximum likelihood estimation procedure and to calibrate the model on option data.

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 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 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 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 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 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 in Constructing Implied Volatility Surfaces written by and published by . This book was released on 2001 with total page 106 pages. Available in PDF, EPUB and Kindle. Book excerpt:

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 A Variance gamma Model of Interest Rate Option Pricing written by Elton Daal and published by . This book was released on 1998 with total page 206 pages. Available in PDF, EPUB and Kindle. Book excerpt:

Download or read book Advances in Mathematical Finance written by Michael C. Fu and published by Springer Science & Business Media. This book was released on 2007-06-22 with total page 345 pages. Available in PDF, EPUB and Kindle. Book excerpt: This self-contained volume brings together a collection of chapters by some of the most distinguished researchers and practitioners in the field of mathematical finance and financial engineering. Presenting state-of-the-art developments in theory and practice, the book has real-world applications to fixed income models, credit risk models, CDO pricing, tax rebates, tax arbitrage, and tax equilibrium. It is a valuable resource for graduate students, researchers, and practitioners in mathematical finance and financial engineering.

Download or read book Levy Process and Variance Gamma Option Pricing Model an Empirical Test on TXO written by 張紘維 and published by . This book was released on 2023 with total page 0 pages. Available in PDF, EPUB and Kindle. Book excerpt:

Download or read book Dynamic Programming for Valuing American Options Under the Variance gamma Process written by Hatem Ben-Ameur and published by . This book was released on 2016 with total page pages. Available in PDF, EPUB and Kindle. Book excerpt:

Download or read book The Multivariate Variance Gamma Process and Its Applications in Multi asset Option Pricing written by Jun Wang and published by . This book was released on 2009 with total page pages. Available in PDF, EPUB and Kindle. Book excerpt:

Download or read book Option Pricing in Incomplete Markets written by Yoshio Miyahara and published by World Scientific. This book was released on 2012 with total page 200 pages. Available in PDF, EPUB and Kindle. Book excerpt: This volume offers the reader practical methods to compute the option prices in the incomplete asset markets. The [GLP & MEMM] pricing models are clearly introduced, and the properties of these models are discussed in great detail. It is shown that the geometric L(r)vy process (GLP) is a typical example of the incomplete market, and that the MEMM (minimal entropy martingale measure) is an extremely powerful pricing measure. This volume also presents the calibration procedure of the [GLP \& MEMM] model that has been widely used in the application of practical problem

Download or read book Pricing Models of Volatility Products and Exotic Variance Derivatives written by Yue Kuen Kwok and published by CRC Press. This book was released on 2022-05-08 with total page 283 pages. Available in PDF, EPUB and Kindle. Book excerpt: Pricing Models of Volatility Products and Exotic Variance Derivatives summarizes most of the recent research results in pricing models of derivatives on discrete realized variance and VIX. The book begins with the presentation of volatility trading and uses of variance derivatives. It then moves on to discuss the robust replication strategy of variance swaps using portfolio of options, which is one of the major milestones in pricing theory of variance derivatives. The replication procedure provides the theoretical foundation of the construction of VIX. This book provides sound arguments for formulating the pricing models of variance derivatives and establishes formal proofs of various technical results. Illustrative numerical examples are included to show accuracy and effectiveness of analytic and approximation methods. Features Useful for practitioners and quants in the financial industry who need to make choices between various pricing models of variance derivatives Fabulous resource for researchers interested in pricing and hedging issues of variance derivatives and VIX products Can be used as a university textbook in a topic course on pricing variance derivatives