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 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 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 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 The Analytical Formula for the Distribution Function of the Variance Gamma Process and Its Application to Option Pricing written by Roman Ivanov and published by . This book was released on 2015 with total page 11 pages. Available in PDF, EPUB and Kindle. Book excerpt: In this paper we primarily obtain the explicit formulas for the distribution function of the variance gamma process. The formulas are based on values of hypergeometric functions. This result is applied to European option pricing. Basing on the established formulas, we get the prices of binary options, as long as the price of European call which was derived firstly in paper by Madan, Carr and Chang (1998).
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 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 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 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 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 Mathematical Properties of Option Pricing Under Gamma Distribution Process written by Andrey Bogomolov and published by . This book was released on 2014 with total page 11 pages. Available in PDF, EPUB and Kindle. Book excerpt: A problem of risk neutral probability density function estimation for prices of risky assets is discussed when the asset pricing model uses exponential random process with independent increments. The structure of increments consists of two components: systematic drift and a random gamma distributed component. To determine the risk neutral probability density Escher transform is used. Obtained results help to define a formula for European call option pricing. Also we compare the found risk neutral density with the density, when the random component is defined by a Wiener process, driven by gamma process.
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 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 Variance Gamma Pricing of American Futures Options written by Eunjoo Yoo and published by . This book was released on 2008 with total page pages. Available in PDF, EPUB and Kindle. Book excerpt: ABSTRACT: In financial markets under uncertainty, the classical Black-Scholes model cannot explain the empirical facts such as fat tails observed in the probability density. To overcome this drawback, during the last decade, Lévy process and stochastic volatility models were introduced to financial modeling. Today crude oil futures markets are highly volatile. It is the purpose of this dissertation to develop a mathematical framework in which American options on crude oil futures contracts are priced more effectively than by current methods. In this work, we use the Variance Gamma process to model the futures price process. To generate the underlying process, we use a random tree method so that we evaluate the option prices at each tree node. Through fifty replications of a random tree, the averaged value is taken as a true option price. Pricing performance using this method is accessed using American options on crude oil commodity contracts from December 2003 to November 2004. In comparison with the Variance Gamma model, we price using the Black-Scholes model as well. Over the entire sample period, a positive skewness and high kurtosis, especially in the short-term options, are observed. In terms of pricing errors, the Variance Gamma process performs better than the Black-Scholes model for the American options on crude oil commodities.
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 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 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:
