KAO, LIE-JANE - In: International Journal of Theoretical and Applied … 15 (2012) 02, pp. 1250015-1
This study develops a GARCH-type model, i.e., the variance-gamma GARCH (VG GARCH) model, based on the two major strands of option pricing literature. The first strand of the literature uses the variance-gamma process, a time-changed Brownian motion, to model the underlying asset price process...