English, Article edition: OPTION PRICING WITH VGâLIKE MODELS RICHARD FINLAY; EUGENE SENETA

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Physical Description
  • article
Language
  • English

Edition details

Title
  • OPTION PRICING WITH VGâLIKE MODELS
Author
  • RICHARD FINLAY
  • EUGENE SENETA
Physical Description
  • article
Notes
  • 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.
  • Variance Gamma process, difference of gamma processes, option pricing, long range dependence, static arbitrage
  • RePEc:wsi:ijtafx:v:11:y:2008:i:08:p:943-955
Language
  • English
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