WOLFRAM|DEMONSTRATIONS PROJECT

Option Prices in the Variance Gamma Model

​
call
put
drift
-0.01
volatility
0.2
risk-free interest rate
0.05
gamma variance
2
time to expiry
1
Column[Transpose[{
Black–Scholes
,
Variance Gamma
}{}], ]
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.