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

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Type of publication:	Book / Working Paper
Language:	English
Notes:	Fiorani, Filo (2004): Option Pricing Under the Variance Gamma Process.
Classification:	G12 - Asset Pricing ; C00 - Mathematical and Quantitative Methods. General ; G13 - Contingent Pricing; Futures Pricing
Source:	BASE

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