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arXiv · 2306.10659

Option Pricing for the Variance Gamma Model: A New Perspective

Yuanda Chen·Zailei Cheng·Haixu Wang
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Abstract

The variance gamma model is a widely popular model for option pricing in both academia and industry. In this paper, we provide a new perspective for pricing European style options for the variance gamma model by deriving closed-form formulas combining the randomization method and fractional derivatives. We also compare our results with various existing results in the literature by numerical examples.

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Yuanda Chen, Zailei Cheng, Haixu Wang. 2023-06-19. Option Pricing for the Variance Gamma Model: A New Perspective. https://arxiv.org/abs/2306.10659

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