Revisiting variance gamma pricing : an application to S&P500 index options

Sharif Mozumder, Ghulam Sorwar, Kevin Dowd

Year of publication:	2015
Authors:	Mozumder, Sharif ; Sorwar, Ghulam ; Dowd, Kevin
Published in:	International journal of financial engineering. - New Jersey : World Scientific, ISSN 2424-7863, ZDB-ID 2832504-7. - Vol. 2.2015, 2, p. 1-24
Subject:	Variance gamma process \| infinitely divisible distribution \| fast Fourier transform \| fractional Fourier transform \| Optionspreistheorie \| Option pricing theory \| Stochastischer Prozess \| Stochastic process \| Volatilität \| Volatility \| Index-Futures \| Index futures \| Statistische Verteilung \| Statistical distribution

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