Abstract
We adapt the global minimization algorithms to calibrate the parameter based on the characteristic function and the Fractional Fast Fourier Transform. We compare the option pricing efficiency of Black-Sholes model and Variance Gamma model. We find the option pricing efficiency of Variance Gamma outperform Black-Sholes model. Second, we adapt all the options with the moneyness and find out with the implied approach, the VG outperform the BS.
Talk to us
Join us for a 30 min session where you can share your feedback and ask us any queries you have