VARIANCE GAMMA MODEL AND ITS DEVELOPMENT FOR STOCKS CALL OPTION PRICES ESTIMATION

One of the developments in options market is formation various pricing models for an option to help buyer determine fairness price. Black-Scholes model uses assumption that log return price stocks normally distributed, while reality, real-world couldn’t fit into assumption. To be able obtain calculation considers skewness and kurtosis stock data, there are many alternative methods, namely with Gram-Charlier expansion Variance Gamma models. As a development model, also several methods reduce simulations variance generated by Antithetic Variate Importance Sampling method. For results, really resulting so it can produce more accurate prices compared model. In end, all call line than Black Scholes