Variance Gamma model. More...

#include <ql/experimental/variancegamma/variancegammamodel.hpp>

Inheritance diagram for VarianceGammaModel:

List of all members.

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_

Detailed Description

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

Warning:
calibration is not implemented for VG