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An empirical test of the variance gamma option pricing model · Study

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ArticleAn empirical test of the variance gamma option pricing model

K. Lam2002

Article2002

An empirical test of the variance gamma option pricing model

K. Lam · Eric Chieh C. Chang

23 citations·0/0 files stored·Pacific-Basin Finance Journal

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Stochastic processes and financial applications Financial Markets and Investment Strategies Financial Risk and Volatility Modeling

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References

1993A Closed-Form Solution for Options with Stochastic Volatility with Applications to Bond and Currency Options 1976Option pricing when underlying stock returns are discontinuous 1987The Pricing of Options on Assets with Stochastic Volatilities 1997Empirical Performance of Alternative Option Pricing Models 1996Jumps and Stochastic Volatility: Exchange Rate Processes Implicit in Deutsche Mark Options 1998The Variance Gamma Process and Option Pricing 1994Implied Binomial Trees 1990The Variance Gamma (V.G.) Model for Share Market Returns

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Year2002

Typearticle

Published2002-06-01

VenuePacific-Basin Finance Journal

ISSN-L0927-538X

Languageen

Citations23

Files0 public / 0

ShelfStochastic processes and financial applications

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doi10.1016/s0927-538x(02)00047-1

openalex_workW1968464096

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