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Local variance gamma revisited
The Journal of Computational Finance, 2015In this paper we develop a new method for implied volatility surface construction for FX options. The methodology is based on the local variance gamma model developed by Carr (2008). Our approach is to solve a simplified "one-step" version of the Dupire equation analytically under the assumption of a continuous five parameter diffusion function.
Markus Falck +1 more
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The Variance Gamma Process and Option Pricing
Review of Finance, 1998Abstract A three parameter stochastic process, termed the variance gamma process, that generalizes Brownian motion is developed as a model for the dynamics of log stock prices. Theprocess is obtained by evaluating Brownian motion with drift at a random time given by a gamma process.
Carr, P, Madan, DB, Chang, EC
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A MULTIVARIATE VARIANCE GAMMA MODEL FOR FINANCIAL APPLICATIONS [PDF]
International Journal of Theoretical and Applied Finance, 2008 In this paper we subordinate a multivariate Brownian motion with independent components by a multivariate gamma subordinator. The resulting process is a generalization of the bivariate variance gamma process proposed by Madan and Seneta [7], mentioned in Cont and Tankov [4] and calibrated in Luciano and Schoutens [5] as a price process.
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Minimum Variance Unbiased Estimation in the Gamma Distribution
Communications in Statistics - Simulation and Computation, 1975In this paper a new infinite series UMVU etimator far general functions of the scale parameter in the gamma distribution wita shape parameter known is presented. The formula gives is easy to employ,and also leads to simple approximations to the UMVU. These approximations are shown to perform well is the examples considered.
Woodward, W. A., Gray, H. L.
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Review of Derivatives Research, 2010
Kuznetsov (Ann Appl Prob, 2009) introduces a 10-parameter family of Levy processes for which the Wiener-Hopf factors and the distribution of the running supremum (infimum) can be determined semi-analytically. In this text we will examine the numerical performance of this so-called β-family, both in the equity world and in the field of credit risk.
Wim Schoutens, Geert Van Damme
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Kuznetsov (Ann Appl Prob, 2009) introduces a 10-parameter family of Levy processes for which the Wiener-Hopf factors and the distribution of the running supremum (infimum) can be determined semi-analytically. In this text we will examine the numerical performance of this so-called β-family, both in the equity world and in the field of credit risk.
Wim Schoutens, Geert Van Damme
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A Singular Gamma Variance Expansion
Wilmott, 2023We give an analytical expansion for option prices and Black implied volatilities consistent with the Variance Gamma model [MCC98] based on a singular expansion of the standard gamma density in terms of the Dirac functions and its derivatives
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Implementation of the Variance Gamma Model
SSRN Electronic Journal, 2017The variance gamma model is a three parameter generalization of Brownian motion as a model for the dynamics of the logarithm of the stock price. Although it is possible to explicitly calculate call and put prices because of some misfortune correct formulas are not available in literature. Here I will present the correct expressions.
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Worldwide variance in the potential utilization of Gamma Knife radiosurgery
Journal of Neurosurgery, 2016OBJECTIVEThe role of Gamma Knife radiosurgery (GKRS) has expanded worldwide during the past 3 decades. The authors sought to evaluate whether experienced users vary in their estimate of its potential use.METHODSSixty-six current Gamma Knife users from 24 countries responded to an electronic survey.
Travis, Hamilton, L, Dade Lunsford
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The Variance Gamma (V.G.) Model for Share Market Returns
The Journal of Business, 1990A new stochastic process, termed the variance gamma process, is proposed as a model for the uncertainty underlying security prices. The unit period distribution is normal conditional on a variance that is distributed as a gamma variate. Its advantages include long tailedness, continuous-time specification, finite moments of all orders, elliptical ...
Madan, Dilip B, Seneta, Eugene
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An empirical test of the variance gamma option pricing model
Pacific-Basin Finance Journal, 2002Abstract In this paper, we test the three-parameter symmetric variance gamma (SVG) option pricing model and the four-parameter asymmetric variance gamma (AVG) option pricing model empirically. Prices of the Hang Seng Index call options, which are of European style, are used as the data for the empirical test.
Lee, MC, Chang, EC, Lam, K
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