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http://ssrn.com/abstract=1411741
 
 

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Option Pricing under the Variance Gamma Process


Filo Fiorani


Merrill Lynch & Co.

April 10, 2004


Abstract:     
In this dissertation we price European and American vanilla and barrier options assuming that the underlying follows the variance gamma process. We solve numerically the problem implementing a finite difference algorithm and we present numerical experiments on the option pricing. This dissertation includes detailed algorithms as well as programming code in C to price European and American vanilla and barrier options under variance gamma.

Number of Pages in PDF File: 380

Keywords: Variance Gamma Process, Option Pricing Under Variance Gamma, Numerical Solution of Option Prices Under Variance Gamma, Numerical Solution of Variance Gamma PIDE, Numerical Solutions of Variance Gamma Partial Differential Equation, Programming Code for Variance Gamma Option Pricing

JEL Classification: G12, C00, G13

working papers series





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Date posted: June 8, 2009  

Suggested Citation

Fiorani, Filo, Option Pricing under the Variance Gamma Process (April 10, 2004). Available at SSRN: http://ssrn.com/abstract=1411741 or http://dx.doi.org/10.2139/ssrn.1411741

Contact Information

Filo Fiorani (Contact Author)
Merrill Lynch & Co. ( email )
One Bryant Park
New York, NY 10036
United States
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