Assuming the underlying assets follow a Variance-Gamma (VG) process, we consider the problem of estimating gradients of a European call option by Monte Carlo simulation methods. In this paper, we compare indirect methods (finite difference techniques such as forward differences) and two direct...

A firm's diversification decision is likely to be a response of two interacting effects, one is the agent problem and the other is the economies of scale. Whether diversification causes a discount or a premium depends on the interaction of the two effects. This paper re-evaluates the effect of...

This paper compares net profits from delta hedging through the Delta of a European call option, by assuming underlying stock prices follows a geometric Brownian motion (GBM) or a Variance-Gamma (VG) process. We employ the maximum likelihood estimation method to estimate corresponding parameters...