The multivariate Variance Gamma model: basket option pricing and calibration
نویسندگان
چکیده
منابع مشابه
The Variance Gamma Process and Option Pricing
A three parameter stochastic process, termed the variance gamma process, that generalizes Brownian motion is developed as a model for the dynamics of log stock prices. The process is obtained by evaluating Brownian motion with drift at a random time given by a gamma process. The two additional parameters are the drift of the Brownian motion and the volatility of the time change. These additiona...
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ژورنال
عنوان ژورنال: Quantitative Finance
سال: 2015
ISSN: 1469-7688,1469-7696
DOI: 10.1080/14697688.2015.1043934