# Option Prices in the Variance Gamma Model

Option Prices in the Variance Gamma Model

The demonstration compares the values of the vanilla European Call and Put options in the Black-Scholes model with the values of the same options in the Variance Gamma model. The strike price is fixed at 100. The control parameters volatility, risk-free interest rate and time to expiry are shared by both models while the parameters "drift" and "gamma variance" affect only the Variance Gamma model.