Göncü, Ahmet; Karahan, Mehmet Oguz; Kuzubas, Tolga Umut - In: Bogazici Journal of Economics and Administrative Sciences 27 (2013) 2
Variance-Gamma model is widely used for option pricing; however there has been little research on empirical performance … of this model for emerging market economies. In this paper, we evaluate the goodness-of-fit of the Variance-Gamma model …-Smirnov goodness-of-fit test statistics, we show that the Variance-Gamma model fits to the dataset well and improves upon the fit of …
