Option Pricing under the Variance Gamma Process

380 Pages Posted: 8 Jun 2009  

Filo Fiorani

Merrill Lynch & Co.

Date Written: 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.

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

Suggested Citation

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

Filo Fiorani (Contact Author)

Merrill Lynch & Co. ( email )

One Bryant Park
New York, NY 10036
United States

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