Pricing Option CGMY model (original) (raw)

2017, IOSR journal of mathematics

Empirical investigation of return dynamics leads searchers to introduce CGMY model with a particular parameter useful in characterizing the fine structure of several type of stochastic process whether the data are free or include diffusion component and whether the process contains indefinite activities and finite/in finite variation. In this paper, we summarize theoretical searcher work; this provides a CGMY-FT closed form solution algorithm for pricing option. For accuracy and validation we implement our method to price European call options and compare the results to a numerical simulation.

Sign up for access to the world's latest research.

checkGet notified about relevant papers

checkSave papers to use in your research

checkJoin the discussion with peers

checkTrack your impact