Residue Sum Formula for Pricing Options under the Variance Gamma Model
We present and prove a triple sum series formula for the European call option price in a market model where the underlying asset price is driven by a Variance Gamma process. In order to obtain this formula, we present some concepts and properties of multidimensional complex analysis, with particular...
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| Principais autores: | , |
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| Formato: | Artigo |
| Idioma: | Inglês |
| Publicado em: |
MDPI AG
2021-05-01
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| coleção: | Mathematics |
| Assuntos: | |
| Acesso em linha: | https://www.mdpi.com/2227-7390/9/10/1143 |
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