OPTION PRICING IN THE VARIANCE-GAMMA MODEL UNDER THE DRIFT JUMP

This paper continues elements of the research direction of the work of Madan et al. [(1998) The variance gamma process and option pricing, European Finance Review 2, 79–105] and gives analytical expressions for the prices of digital and European call options in the variance-gamma model under the ass...

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Veröffentlicht in:	International journal of theoretical and applied finance 2018-06, Vol.21 (4), p.1850018
1. Verfasser:	IVANOV, ROMAN V.
Format:	Artikel
Sprache:	eng
Schlagworte:	Finance Options trading Prices Put & call options
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description	This paper continues elements of the research direction of the work of Madan et al. [(1998) The variance gamma process and option pricing, European Finance Review 2, 79–105] and gives analytical expressions for the prices of digital and European call options in the variance-gamma model under the assumption that the linear drift rate of stock log-returns can suddenly jump downwards. The time of the jump is taken to be exponentially distributed. The formulas obtained require the computation of some generalized hyperbolic functions.
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source	World Scientific Journals (Tsinghua Mirror); World Scientific Journals
subjects	Finance Options trading Prices Put & call options
title	OPTION PRICING IN THE VARIANCE-GAMMA MODEL UNDER THE DRIFT JUMP
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