17 citations
4 papers
Some pricing tools for the Variance Gamma model
Jean-Philippe Aguilar
We establish several closed pricing formula for various path-independent payoffs, under an exponential Lévy model driven by the Variance Gamma process. These formulas take the form…
On expansions for the Black-Scholes prices and hedge parameters
Jean-Philippe Aguilar
We derive new formulas for the price of the European call and put options in the Black-Scholes model, under the form of uniformly convergent series generalizing previously known ap…
Option Pricing Models Driven by the Space-Time Fractional Diffusion: Series Representation and Applications
Jean-Philippe Aguilar, Jan Korbel
In this paper, we focus on option pricing models based on space-time fractional diffusion. We briefly revise recent results which show that the option price can be represented in t…
Series representation of the pricing formula for the European option driven by space-time fractional diffusion
Jean-Philippe Aguilar, Cyril Coste, Jan Korbel
In this paper, we show that the price of an European call option, whose underlying asset price is driven by the space-time fractional diffusion, can be expressed in terms of rapidl…