On the numerical evaluation of option prices in the variance gamma model
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Publication:3603600
DOI10.1080/00207160701874813zbMATH Open1155.91391OpenAlexW2125754842MaRDI QIDQ3603600FDOQ3603600
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
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Cites Work
- A jump-diffusion model for option pricing
- Option pricing when underlying stock returns are discontinuous
- Jump-diffusion processes: volatility smile fitting and numerical methods for option pricing
- A Semi-Lagrangian Approach for American Asian Options under Jump Diffusion
- Numerical valuation of options with jumps in the underlying
- A penalty method for American options with jump diffusion processes
- 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
- Closed-form option pricing for exponential Lévy models: a residue approach
- An approximate Malliavin weight for variance gamma process: sensitivity analysis of European style options
- 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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