Nzokem, Aubain Hilaire - In: Journal of risk and financial management : JRFM 16 (2023) 1, pp. 1-28
The paper builds a Variance-Gamma (VG) model with five parameters: location (μ), symmetry (δ), volatility (σ), shape (α), and scale (θ); and studies its application to the pricing of European options. The results of our analysis show that the five-parameter VG model is a stochastic...