the variance gamma process and option pricing.（方差伽马过程和期权定价。）.pdfVIP

The Variance Gamma Pro cess and Option Pricing Dilip B Madan Rob ert H Smith Scho ol of Business University of Maryland College Park MD Tel emaildbmrhsmithumdedu Peter Carr Morgan Stanley Broadway th Flo or New York NY Tel email carrpmscom Eric C Chang DuPree Scho ol of Management Georgia Institute of Technology Atlanta GA Scho ol of Business The University of Hong Kong Tel emaileric changmgtgatechedu June Abstract A three parameter sto chastic pro cess termed the variance gamma pro cess that generalizes Brownian motion is develop ed as a mo del for the dy namics of log sto ck prices The pro cess is obtained by evaluating Brownian motion with drift at a random time given by a gamma pro cess The two ad ditional parameters are the drift of the Brownian motion and the volatility of the time change These additional parameters provide control over the skewness and kurtosis of the return distribution Closed forms are obtained for the return density and the prices of Europ ean options The statistical and risk neutral densities are estimated for data on the SP Index and the prices of options on this Index It is observed that the statistical density is symmetric with some kurtosis while the risk neutral density is negatively skewed with a larger kurtosis The