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

被引：3

作者：

Ivanov, Roman, V ^{[1
]}

机构：

[1] RAS, Trapeznikov Inst Control Sci, Lab Control Incomplete Informat, Profsoyuznaya 65, Moscow 117342, Russia

来源：

INTERNATIONAL JOURNAL OF THEORETICAL AND APPLIED FINANCE | 2018年 / 21卷 / 04期

关键词：

European option; variance-gamma process; drift jump; exponential distribution; generalized hyperbolic function;

D O I：

10.1142/S0219024918500188

中图分类号：

F8 [财政、金融];

学科分类号：

0202 ;

摘要：

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.

引用

页数：19

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