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5
votes
2answers
247 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
...
0
votes
0answers
103 views
what's analytic calculation formula for multi-option cross gamma?
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.
