Option Pricing Under the Variance Gamma Process

Name: Option Pricing Under the Variance Gamma Process
Brand: VDM Verlag
SKU: 9783639188790
Price: 436.69 RON
Availability: InStock

With Detailed Algorithms and Programming Code in C to Price Options

Autor: Filo Fiorani

Limbă:

Legare: Carte broșată

Editura: VDM Verlag

Disponibilitate: În depozitul extern

Expediem în 14-21 zile

436.69 lei

Variance gamma is a pure jump stochastic process that allows to control volatility, skewness and kur...

Informații despre carte

Autor

Filo Fiorani

Limbă

engleză

Legare

Carte - Carte broșată

Publicat

2009

Pagini

440

EAN

9783639188790

ISBN

3639188799

Enbook ID

06827006

Editura

VDM Verlag

Greutate

640

Dimensiuni

152 x 229 x 25

Descriere completă

Variance gamma is a pure jump stochastic process that allows to control volatility, skewness and kurtosis. The good fit to market data of option prices modeled with variance gamma has attracted increasing interest in the process, seen as an ideal candidate to improve classic Black and Scholes's option pricing. This monograph provides an excellent overview of the research to date on option pricing under variance gamma. The book will be invaluable to practitioners and academics who want to easily implement the model and understand the theory behind it. The monograph offers in-depth explanation of the pricing problem and provides a detailed implementation of finite difference algorithms used to price options. As the only published work that offers ready-to-use algorithms for a wide array of European and American, vanilla and barrier options, it is a great resource for researchers that want to use variance gamma to improve their risk management, trading and theoretical research. The monograph also presents programming code in C implementing every numerical algorithm presented in the work, making the research immediately usable even to the non-expert reader.

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Option Pricing Under the Variance Gamma Process

With Detailed Algorithms and Programming Code in C to Price Options

Informații despre carte

Descriere completă

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