Pricing American options under variance gamma

By Ali Hirsa, Dilip B Madan 5. 2003

154 citations recorded by the source corpus.

View Paper: https://www.semanticscholar.org/paper/16061c8cc6ee13947162a35cebc7962efa09f7de

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Citations in the corpus

Pricing Credit Default Swaps Under Levy Models (2007, methodology): “We follow the technique introduced in [9].”
Robust numerical valuation of European and American options under the CGMY process (2007, methodology): “Option pricing, under exponential Lévy process with finite activity [5, 8, 9, 10, 11, 12] and infinite activity [13, 14, 15, 16, 17] has been extensively studied.”
Variance-Gamma and Monte Carlo (2007, methodology): “More recently, it has been applied to American-style options pricing in [15] and [17], the latter using the fast Fourier transform introduced in [6].”
The Variance-Gamma Distribution: A Review (2023, unknown): “Typically, however, closed-form option formulas are unavailable; see, for example, Hirsa and Madan [52], in which a partial integro-differential equation is derived for pricing American options under the VG process.”
Some remarks on first passage of Levy processes, the American put and pasting principles (2005, unknown): “ar X iv :m at h/ 05 08 48 7v 1 [ m at h. PR ] 2 5 A ug 2 00 5 The Annals of Applied Probability 2005, Vol. 15, No. 3, 2062–2080 DOI: 10.1214/105051605000000377 c© Institute of Mathematical Statistics, 2005”
Single-Transform Formulas for Pricing Asian Options in a General Approximation Framework under Markov Processes (2015, unknown): “The four cases of parameter settings are taken from Table 1 of Hirsa and Madan (2004) except T = 1 (see Table 7 in this paper) and obtained from calibration of S&P 500 on June 30, 1999.”
On American Options Under the Variance Gamma Process (2007, methodology): “Notice that the notation used here is as in Hirsa and Madan (2004) (the solution method however will be completely different, as mentioned in the introduction).”
Pricing early-exercise and discrete barrier options by fourier-cosine series expansions (2009, unknown): “Generally speaking, however, the computational process with PIDE is rather expensive, especially for the infinite activity Lévy processes we are interested in, because they give rise to an integral in the PIDE with a weakly singular kernel [2, 27, 44].”