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• W3171275626 abstract "The 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. For completeness I also will provide a recipe for Monte Carlo simulation. The article is meant as an instruction for financial engineers to implement the model correctly." @default.
• W3171275626 created "2021-06-22" @default.
• W3171275626 creator A5060340999 @default.
• W3171275626 date "2017-01-01" @default.
• W3171275626 modified "2023-09-25" @default.
• W3171275626 title "Implementation of the Variance Gamma Model" @default.
• W3171275626 doi "https://doi.org/10.2139/ssrn.3003826" @default.
• W3171275626 hasPublicationYear "2017" @default.
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