The Analytical Formula for the Distribution Function of the Variance Gamma Process and its Application to Option Pricing

In this paper we primarily obtain the explicit formulas for the distribution function of the variance gamma process. The formulas are based on values of hypergeometric functions. This result is applied to European option pricing. Basing on the established formulas, we get the prices of binary options, as long as the price of European call which was derived firstly in paper by Madan, Carr and Chang (1998)

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Year of publication:	2015
Authors:	Ivanov, Roman
Publisher:	[2015]: [S.l.] : SSRN
Subject:	Optionspreistheorie \| Option pricing theory

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Extent:	1 Online-Ressource (11 p)
Type of publication:	Book / Working Paper
Language:	English
Notes:	Nach Informationen von SSRN wurde die ursprüngliche Fassung des Dokuments September 11, 2012 erstellt
Other identifiers:	10.2139/ssrn.2617237 [DOI]
Classification:	C63 - Computational Techniques ; D30 - Distribution. General ; D46 - Value Theory ; D53 - Financial Markets ; G12 - Asset Pricing ; C02 - Mathematical Methods
Source:	ECONIS - Online Catalogue of the ZBW

Persistent link: https://www.econbiz.de/10013021213