It stands for variance gamma model; an option pricing model which is based purely on jumps between successive nodes where...

An option pricing model which is based purely on jumps between successive nodes where small jumps occur often and large...

The empirical relation which exists between implied volatility and strike prices (it could be also observed between implied volatility and...

A u-shaped pattern, resembling a smile, which is formed by plotting options’ implied volatilities against exercise prices. In general, implied...

An option pricing model which assumes that the evolution of the underlying asset return follows the generalized autoregressive conditional heteroskedastic...