Revisiting variance gamma pricing: An application to S&P500 index options
(2015)
Journal Article
Mozumder, S., Sorwar, G., & Dowd, K. (2015). Revisiting variance gamma pricing: An application to S&P500 index options. International Journal of Financial Engineering, 02(02), 1550022. https://doi.org/10.1142/s242478631550022x
This paper reformulates the Lévy–Kintchine formula to make it suitable for modeling the stochastic time-changing effects of Lévy processes. Using the variance gamma (VG) process as an example, it illustrates the dynamic properties of a Lévy process a... Read More about Revisiting variance gamma pricing: An application to S&P500 index options.