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 ...
I knew it's d^2v/dx1dx2, but I don't have the explicit function of v=f(x1,x2). How do you come up with gamma/cross gamma matrix? Thank you very much.