Journal of Applied Mathematics and Physics

Vol.2 No.11(2014), Paper ID 50966, 9 pages

DOI:10.4236/jamp.2014.211114

 

Valuation of European and American Options under Variance Gamma Process

 

Ferry Jaya Permana, Dharma Lesmono, Erwinna Chendra

 

Department of Mathematics, Universitas Katolik Parahyangan, Bandung, Indonesia
Department of Mathematics, Universitas Katolik Parahyangan, Bandung, Indonesia
Department of Mathematics, Universitas Katolik Parahyangan, Bandung, Indonesia

 

Copyright © 2014 Ferry Jaya Permana, Dharma Lesmono, Erwinna Chendra et al. This is an open access article distributed under the Creative Commons Attribution License, which permits unrestricted use, distribution, and reproduction in any medium, provided the original work is properly cited.

 

How to Cite this Article


Permana, F. , Lesmono, D. and Chendra, E. (2014) Valuation of European and American Options under Variance Gamma Process. Journal of Applied Mathematics and Physics, 2, 1000-1008. doi: 10.4236/jamp.2014.211114.

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