On the numerical evaluation of option prices in the variance gamma model

DOI10.1080/00207160701874813MaRDI QIDQ3603600zbMATH OpenOpenAlexFDO

Authors Anita Mayo

Publication date 18 February 2009

Published in International Journal of Computer Mathematics (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1080/00207160701874813

zbMATH Keywords

option pricingvariance gamma

Mathematics Subject Classification ID

Numerical methods (including Monte Carlo methods) (91G60)

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Cites work

• A Semi-Lagrangian Approach for American Asian Options under Jump Diffusion
• A jump-diffusion model for option pricing
• A penalty method for American options with jump diffusion processes
• Jump-diffusion processes: volatility smile fitting and numerical methods for option pricing
• Numerical valuation of options with jumps in the underlying
• Option pricing when underlying stock returns are discontinuous
• Wavelet Galerkin pricing of American options on Lévy driven assets

Cited in

(12)

• Some pricing tools for the variance gamma model
• Unbiased Monte Carlo valuation of lookback, swing and barrier options with continuous monitoring under variance gamma models
• An approximate Malliavin weight for variance gamma process: sensitivity analysis of European style options
• Closed-form option pricing for exponential Lévy models: a residue approach
• A fast and accurate lattice model to evaluate options under the variance gamma process
• OPTION PRICING WITH VG–LIKE MODELS
• A family of density expansions for Lévy-type processes
• Variance Gamma process and option pricing
• Multinomial method for option pricing under variance gamma
• Option pricing in the variance-gamma model under the drift jump
• On American Options Under the Variance Gamma Process
• The \(\beta \)-variance gamma model

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