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