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ECONIS (ZBW)
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1
Pricing European options under stochastic volatility models: Case of five-parameter
variance-gamma
process
Nzokem, Aubain Hilaire
- In:
Journal of Risk and Financial Management
16
(
2023
)
1
,
pp. 1-28
The paper builds a
Variance-Gamma
(VG) model with five parameters: location (μ), symmetry (δ), volatility … analysis were obtained by fitting the five-parameter
Variance-Gamma
(VG) model to the underlying distribution of the daily SPY …
Persistent link: https://www.econbiz.de/10014332830
Saved in:
2
Pricing European options under stochastic volatility models : case of five-parameter
variance-gamma
process
Nzokem, Aubain Hilaire
- In:
Journal of risk and financial management : JRFM
16
(
2023
)
1
,
pp. 1-28
The paper builds a
Variance-Gamma
(VG) model with five parameters: location (μ), symmetry (δ), volatility (σ), shape (α …+αθδ) and variance α(θ2δ2+σ2θ). The data used for empirical analysis were obtained by fitting the five-parameter
Variance-Gamma
…
Persistent link: https://www.econbiz.de/10014288862
Saved in:
3
Closed-form option pricing for exponential Lévy models : a residue approach
Aguilar, Jean-Philippe
;
Kirkby, Justin Lars
- In:
Quantitative finance
23
(
2023
)
2
,
pp. 251-278
Persistent link: https://www.econbiz.de/10014232627
Saved in:
4
A structural approach to default modelling with pure jump processes
Aguilar, Jean-Philippe
;
Pesci, Nicolas
;
James, Victor
- In:
Applied mathematical finance
28
(
2021
)
1
,
pp. 48-78
Persistent link: https://www.econbiz.de/10012625981
Saved in:
5
No country for old distributions? : on the comparison of implied option parameters between the Brownian motion and
variance
gamma
process
Ulze, Markus
;
Stadler, Johannes
;
Rathgeber, Andreas W.
- In:
The quarterly review of economics and finance : journal …
82
(
2021
),
pp. 163-184
Persistent link: https://www.econbiz.de/10013258472
Saved in:
6
Some pricing tools for the
variance
gamma
model
Aguilar, Jean-Philippe
- In:
International journal of theoretical and applied finance
23
(
2020
)
4
,
pp. 1-35
Persistent link: https://www.econbiz.de/10012271024
Saved in:
7
Pricing European options and risk measurement under exponential Lévy models : a practical guide
Salhi, Khaled
- In:
International journal of financial engineering
4
(
2017
)
2/3
,
pp. 1-36
Persistent link: https://www.econbiz.de/10011777826
Saved in:
8
Examination of selected improvement approaches to Monte Carlo simulation in option pricing
Tichý, Tomáš
- In:
Politická ekonomie
2008
(
2008
)
6
,
pp. 772-794
vanilla call. We consider three distinct underlying processes: geometric Brownian motion,
variance
gamma
model and normal …
Persistent link: https://www.econbiz.de/10008754960
Saved in:
9
Testing for Mean Reversion in Processes of Ornstein-Uhlenbeck Type
Szimayer, A.
;
Maller, R.
- In:
Statistical Inference for Stochastic Processes
7
(
2004
)
2
,
pp. 95-113
Persistent link: https://www.econbiz.de/10005616007
Saved in:
10
Optimal investment in derivative securities
Madan, Dilip B.
;
Jin, Xing
;
Carr, Peter
- In:
Finance and Stochastics
5
(
2001
)
1
,
pp. 33-59
processes are in the
variance
gamma
(VG) class. In this case, we observe that the optimal derivative contract pays a function of …
Persistent link: https://www.econbiz.de/10005613388
Saved in:
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