Lee, Brendan Chee-Seng, Banking & Finance, Australian … - 2007
does not contain any continuous component at all in the underlying distribution (Variance Gamma Model).These models have … and the Variance Gamma Model, we introduce the use of an innovationfrom option pricing techniques, which concentrates on … proved the most accurate at the95% VaR level, neither the Poisson Jump Diffusion or Variance Gamma models were dominant in …