The aim of this paper is to investigate the ability of the Dynamic Variance Gamma model, recently proposed by Bellini and Mercuri (2010), to evaluate option prices on the S&P500 index. We also provide a simple relation between the Dynamic Variance Gamma model and the Vix index. We use this result to build a maximum likelihood estimation procedure and to calibrate the model on option data.

Mercuri, L. (2010). Estimation and calibration of a Dynamic Variance Gamma model [Working paper del dipartimento].

Estimation and calibration of a Dynamic Variance Gamma model

MERCURI, LORENZO
2010

Abstract

The aim of this paper is to investigate the ability of the Dynamic Variance Gamma model, recently proposed by Bellini and Mercuri (2010), to evaluate option prices on the S&P500 index. We also provide a simple relation between the Dynamic Variance Gamma model and the Vix index. We use this result to build a maximum likelihood estimation procedure and to calibrate the model on option data.
Working paper del dipartimento
Scientifica
Variance-Gamma distribution; Stochastic Volatility model; Vix index; Maximum Likelihood Estimation; Calibration
English
Mercuri, L. (2010). Estimation and calibration of a Dynamic Variance Gamma model [Working paper del dipartimento].
Mercuri, L
File in questo prodotto:
File Dimensione Formato  
Estimation_and_calibration_of_a_Dynamic_Variance_Gamma_model_using_Vix_data.pdf

accesso aperto

Dimensione 186.01 kB
Formato Adobe PDF
186.01 kB Adobe PDF Visualizza/Apri

I documenti in IRIS sono protetti da copyright e tutti i diritti sono riservati, salvo diversa indicazione.

Utilizza questo identificativo per citare o creare un link a questo documento: https://hdl.handle.net/10281/16896
Citazioni
  • Scopus ND
  • ???jsp.display-item.citation.isi??? ND
Social impact