Option Pricing Under the Variance Gamma Process

In this dissertation we price European and American vanilla and barrier options assuming that the underlying follows the variance gamma process. We solve numerically the problem implementing a finite difference algorithm and we present numerical experiments on the option pricing. This dissertation includes detailed algorithms as well as programming code in C++ to price European and American vanilla and barrier options under variance gamma.

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Year of publication:	2004-04
Authors:	Fiorani, Filo
Institutions:	Volkswirtschaftliche Fakultät, Ludwig-Maximilians-Universität München
Subject:	Variance Gamma Process \| Option Pricing Under Variance Gamma \| Numerical Solution of Option Prices Under Variance Gamma \| Numerical Solution of Variance Gamma PIDE \| Numerical Solutions of Variance Gamma Partial Differential Equation \| Programming Code for Variance Gamma Option Pricing

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Extent:	application/pdf
Series:	MPRA Paper.
Type of publication:	Book / Working Paper
Classification:	G12 - Asset Pricing ; C00 - Mathematical and Quantitative Methods. General ; G13 - Contingent Pricing; Futures Pricing
Source:	RePEc - Research Papers in Economics

Persistent link: https://www.econbiz.de/10005025684