Apollo Hogan

Bloomberg L.P. - R&D

Head, Quantitative Finance, FX

Tel Aviv, 61336

Israel

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1

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Scholarly Papers (1)

1.

Time for a Change: The Variance Gamma Model and Option Pricing

Number of pages: 12 Posted: 12 Jan 2007
Harvey J. Stein, Peter Carr and Apollo Hogan
Bloomberg L.P., New York University Finance and Risk Engineering and Bloomberg L.P. - R&D
Downloads 1,902 (8,460)
Citation 8

Abstract:

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Black-Scholes, variance gamma model, skew, kurtosis, volatility smile, option pricing, equity options, time changed Brownian motion