Daal, Elton A.; Madan, Dilip B. - In: The Journal of Business 78 (2005) 6, pp. 2121-2152
We apply the variance-gamma (VG) option-pricing model to currency options. The model is a pure infinite-activity jump model. We examine whether and to what extent this new model can improve the pricing quality for currency options over the existing modified Black-Scholes model and the Merton...