Estimation and Calibration of a Dynamic Variance Gamma Model Using Vix Data

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

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Year of publication:	2015
Authors:	Mercuri, Lorenzo
Publisher:	[2015]: [S.l.] : SSRN
Subject:	Volatilität \| Volatility \| Schätzung \| Estimation \| Schätztheorie \| Estimation theory \| Stochastischer Prozess \| Stochastic process \| Börsenkurs \| Share price

Extent:	1 Online-Ressource (16 p)
Type of publication:	Book / Working Paper
Language:	English
Notes:	Nach Informationen von SSRN wurde die ursprüngliche Fassung des Dokuments September 18, 2010 erstellt
Other identifiers:	10.2139/ssrn.1695515 [DOI]
Classification:	C00 - Mathematical and Quantitative Methods. General ; C63 - Computational Techniques ; C65 - Miscellaneous Mathematical Tools ; G12 - Asset Pricing ; G13 - Contingent Pricing; Futures Pricing
Source:	ECONIS - Online Catalogue of the ZBW

Persistent link: https://www.econbiz.de/10013038504