Option Pricing under the Variance Gamma Process
Merrill Lynch & Co.
April 10, 2004
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
Date posted: June 8, 2009