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- W2066707813 abstract "Several authors have shown the ability of the variance gamma model to correct some biases of the Black-Scholes model. The variance gamma distribution has two additional parameters that allow to capture the skewness and kurtosis observed in financial data. However its density has not got a simple form formula and this implies numerical issues for historical estimation and option pricing. This paper investigates the possibility of approximating the variance gamma distribution to a finite mixture of normals. Therefore, we apply this result to derive a simple historical estimation procedure by means of the Expectation Maximization algorithm and we obtain a simple formula to price a European call option." @default.
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- W2066707813 date "2012-02-01" @default.
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- W2066707813 title "Approximation of the variance gamma model with a finite mixture of normals" @default.
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- W2066707813 doi "https://doi.org/10.1016/j.spl.2011.10.004" @default.
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