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...
Main Authors: | , |
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Format: | Article |
Language: | English |
Published: |
MDPI AG
2021-05-01
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Series: | Mathematics |
Subjects: | |
Online Access: | https://www.mdpi.com/2227-7390/9/10/1143 |