- QuantLib
- VarianceGammaModel
Variance Gamma model. More...
#include <ql/experimental/variancegamma/variancegammamodel.hpp>
Public Member Functions | |
VarianceGammaModel (const boost::shared_ptr< VarianceGammaProcess > &process) | |
Real | sigma () const |
Real | nu () const |
Real | theta () const |
boost::shared_ptr < VarianceGammaProcess > | process () const |
Protected Member Functions | |
void | generateArguments () |
Protected Attributes | |
boost::shared_ptr < VarianceGammaProcess > | process_ |
Variance Gamma model.
References:
Dilip B. Madan, Peter Carr, Eric C. Chang (1998) "The variance gamma process and option pricing," European Finance Review, 2, 79-105