Option Pricing for the Variance Gamma Model: A New Perspective

Yuanda Chen, Zailei Cheng and Haixu Wang

Papers from arXiv.org

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.

Date: 2023-06
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