Revisiting variance gamma pricing : an application to S&P500 index options
Year of publication: |
2015
|
---|---|
Authors: | Mozumder, Sharif ; Sorwar, Ghulam ; Dowd, Kevin |
Published in: |
International journal of financial engineering. - New Jersey : World Scientific, ISSN 2424-7863, ZDB-ID 2832504-7. - Vol. 2.2015, 2, p. 1-24
|
Subject: | Variance gamma process | infinitely divisible distribution | fast Fourier transform | fractional Fourier transform | Optionspreistheorie | Option pricing theory | Stochastischer Prozess | Stochastic process | Statistische Verteilung | Statistical distribution | Volatilität | Volatility |
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