Closed form european option prices for a variance gamma process with a randomly distributed drift, volatility, and variance rate
Does an option pricing model with a closed form European option price exist that takes into account randomly distributed drift, volatility, and variance rate? I prefer a modification to the variance ...
Consider some negative skew and high kurtosis return time-series $X_t$. I do not know the functional form of the pdf of $X_t$ and have about 150,000 data points. Suppose that I was to create an ...
What are the formulae for d1 & d2 using a Laplace distribution?