34889

Автор(ы): 

Автор(ов): 

1

Параметры публикации

Тип публикации: 

Статья в журнале/сборнике

Название: 

The distribution of the maximum of a variance gamma process and path-dependent option pricing

Наименование источника: 

  • Finance and Stochastics

Обозначение и номер тома: 

Т. 19, № 4

Город: 

  • Berlin

Издательство: 

  • Springer

Год издания: 

2015

Страницы: 

979-993
Аннотация
Despite numerical procedures often supply a necessary accuracy, closed-form expressions allow to escape any accumulation of errors. In this paper we discuss the possibility of obtaining explicit results for a variance gamma process. The exact distribution of the maximum of the variance gamma process over a finite interval of time is derived. The prices of path-dependent options including digital barrier, fixed-strike lookback and lookback options are established. The obtained formulas are based on values of hypergeometric functions.

Библиографическая ссылка: 

Иванов Р.В. The distribution of the maximum of a variance gamma process and path-dependent option pricing // Finance and Stochastics. 2015. Т. 19, № 4. С. 979-993.