FINLAY, RICHARD; SENETA, EUGENE - In: International Journal of Theoretical and Applied … 11 (2008) 08, pp. 943-955
We relax separately two assumptions regarding the Variance Gamma (VG) process and price options accordingly. In the case of the Difference of Gammas model we achieve a better fit to market data than achieved by other comparable models. In the case of the long range dependent VG model, we find...