Search Results - subject:"Variance Gamma model"

Construction and hedging of equity index options portfolios

Wysocki, Maciej; Ślepaczuk, Robert - 2024

Persistent link: https://www.econbiz.de/10014634884

Variance Gamma process in the option pricing model

Drahokoupil, Jakub - 2021

Persistent link: https://www.econbiz.de/10012493120

Fitting the Variance-Gamma Model: A Goodness-of-Fit Check for Emerging Markets

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 …

Persistent link: https://www.econbiz.de/10010775086

Conserving Capital by Adjusting Deltas for Gamma in the Presence of Skewness

Madan, Dilip B. - In: Journal of Risk and Financial Management 3 (2010) 1, pp. 1-25

An argument for adjusting Black Scholes implied call deltas downwards for a gamma exposure in a left skewed market is presented. It is shown that when the objective for the hedge is the conservation of capital ignoring the gamma for the delta position is expensive. The gamma adjustment factor in...

Persistent link: https://www.econbiz.de/10011031461

Conserving capital by adjusting deltas for gamma in the presence of skewness

Madan, Dilip B. - In: Journal of Risk and Financial Management 3 (2010) 1, pp. 1-25

Persistent link: https://www.econbiz.de/10011843221

Examination of Portfolio Currency Risk Estimation by Means of Lévy Models

Tichý, Tomáš - In: Politická ekonomie 2010 (2010) 4, pp. 504-521

Financial risk modeling, measuring, and managing are an inherent part of management in financial institutions. It is also an important step within the setting of optimal level of capital eligible to cover risk exposures. A significant portion of capital is usually assigned to cover the risk of...

Persistent link: https://www.econbiz.de/10008564635

Conserving capital by adjusting deltas for gamma in the presence of skewness

Madan, Dilip B. - In: Journal of risk and financial management : JRFM 3 (2010) 1, pp. 1-25

Persistent link: https://www.econbiz.de/10011555954

Moments structure of l 1-stochastic volatility models

Neto, David; Sardy, Sylvain - 2009

Persistent link: https://www.econbiz.de/10003926961

Moments Structure of l1-Stochastic Volatility Models

Neto, David; Sardy, Sylvain - Institut d'Economie et Econométrie, Université de Genève - 2008

We consider Taylor's stochastic volatility model when the innovations of the hidden log-volatility process have a Laplace distribution (l1 exponential density), rather than the standard Gaussian distribution (l2) usually employed. Using a distribution with heavier tails allows better modeling of...

Persistent link: https://www.econbiz.de/10010616292

Examination of selected improvement approaches to Monte Carlo simulation in option pricing

Tichý, Tomáš - In: Politická ekonomie 2008 (2008) 6, pp. 772-794

vanilla call. We consider three distinct underlying processes: geometric Brownian motion, variance gamma model and normal …

Persistent link: https://www.econbiz.de/10008754960