Pricing European Options under Stochastic Volatility Models: Case of Five-Parameter Variance-Gamma Process
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- Sharif Mozumder & Ghulam Sorwar & Kevin Dowd, 2015. "Revisiting variance gamma pricing: An application to S&P500 index options," International Journal of Financial Engineering (IJFE), World Scientific Publishing Co. Pte. Ltd., vol. 2(02), pages 1-24.
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Cited by:
- A. H. Nzokem, 2023. "Bitcoin versus S&P 500 Index: Return and Risk Analysis," Papers 2310.02436, arXiv.org.
- A. H. Nzokem, 2023. "European Option Pricing Under Generalized Tempered Stable Process: Empirical Analysis," Papers 2304.06060, arXiv.org, revised Aug 2023.
- Aubain Nzokem & Daniel Maposa, 2024. "Fitting the seven-parameter Generalized Tempered Stable distribution to the financial data," Papers 2410.19751, arXiv.org, revised Jan 2025.
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Keywords
stochastic volatility; Lévy process; Ornstein–Uhlenbeck process; infinitely divisible distribution; Variance-Gamma (VG) model; function characteristic; Esscher transform;All these keywords.
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