OPTION PRICING WITH VG-LIKE MODELS

被引：20

作者：

Finlay, Richard ^{[1
]}

Seneta, Eugene ^{[1
]}

机构：

[1] Univ Sydney, Sch Math & Stat, F07 Univ Sydney, Sydney, NSW 2006, Australia

来源：

INTERNATIONAL JOURNAL OF THEORETICAL AND APPLIED FINANCE | 2008年 / 11卷 / 08期

关键词：

Variance Gamma process; difference of gamma processes; option pricing; long range dependence; static arbitrage;

D O I：

10.1142/S0219024908005093

中图分类号：

F8 [财政、金融];

学科分类号：

0202 ;

摘要：

We relax separately two assumptions regarding the Variance Gamma (VG) process and price options accordingly. In the case of the Difference of Gammas model we achieve a better fit to market data than achieved by other comparable models. In the case of the long range dependent VG model, we find that the current "skew-correcting" approach to pricing options has shortcomings, and identify a number of model characteristics (flexible skewness, dependence of squared returns, accommodation of the leverage effect) which appear to be important in achieving a good fit to market data.

引用

页码：943 / 955

页数：13

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