Option Pricing for the Variance Gamma Model: A New Perspective
Mathematical Finance
2023-06-21 v1
Abstract
The variance gamma model is a widely popular model for option pricing in both academia and industry. In this paper, we provide a new perspective for pricing European style options for the variance gamma model by deriving closed-form formulas combining the randomization method and fractional derivatives. We also compare our results with various existing results in the literature by numerical examples.
Keywords
Cite
@article{arxiv.2306.10659,
title = {Option Pricing for the Variance Gamma Model: A New Perspective},
author = {Yuanda Chen and Zailei Cheng and Haixu Wang},
journal= {arXiv preprint arXiv:2306.10659},
year = {2023}
}