Fairmat repository1.6
Version1.0.2
Version date19.04.2013
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Variance Gamma

License: Free
Author: Fairmat srl

The Variance Gamma (VG) is a mathematical model for simulating stock prices. The model is both simple and robust and it is a very good alternation to the existing models like Heston stochastic volatility model and Black-Scholes model which may be biased when applied to real market circumstances. The calibration procedure is based on closed form calculation of European options.

Tags: Stochastic Process, Equity Model
Downloads: 224