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- W2093658981 abstract "We apply the variance‐gamma (VG) option‐pricing model to currency options. The model is a pure infinite‐activity jump model. We examine whether and to what extent this new model can improve the pricing quality for currency options over the existing modified Black‐Scholes model and the Merton jump‐diffusion (JD) model. We find that the VG model yields better out‐of‐sample pricing performance than the modified Black‐Scholes model or the JD model. In addition, a cross‐entropy analysis shows that the VG model is more consistent with the general criterion of utility maximization and optimal portfolio selection." @default.
- W2093658981 created "2016-06-24" @default.
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- W2093658981 date "2005-11-01" @default.
- W2093658981 modified "2023-09-26" @default.
- W2093658981 title "An Empirical Examination of the Variance‐Gamma Model for Foreign Currency Options*" @default.
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- W2093658981 doi "https://doi.org/10.1086/497039" @default.
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