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1
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2answers
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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 ...
8
votes
4answers
608 views

How to simulate stock prices using variance gamma process?

I want to simulate stock prices with the variance gamma process. The model is given by: $S_T=S_0 e^{ {[}(r-1)T + \omega + z{]}} $ where $S_0= $ starting value $T= $ Time ...