PRICING EUROPEAN OPTIONS IN THE VARIANCE GAMMA MODEL
PRICING EUROPEAN OPTIONS IN THE VARIANCE GAMMA MODEL
Author(s): Arkadiusz OrzechowskiSubject(s): Business Economy / Management, International relations/trade, Methodology and research technology, Financial Markets
Published by: Szkoła Główna Gospodarstwa Wiejskiego w Warszawie
Keywords: European options; the variance gamma model; Fourier transform;
Summary/Abstract: The purpose of the article was to investigate if it is possible to speed up the process of pricing European options in the variance gamma setting. The analysis carried out for this purpose refers to the choice of the Fourier transform scheme, which allows to obtain accurately and fast the final result (theoretical value of the European option). The issues being discusses that refer to other methods of pricing options via Fourier transform are also briefly discussed.
Journal: Metody Ilościowe w Badaniach Ekonomicznych
- Issue Year: XX/2019
- Issue No: 1
- Page Range: 45-53
- Page Count: 9
- Language: English