quantmetrics.price_calculators.vg_pricing.vg_closed_form.VGClosedForm

class quantmetrics.price_calculators.vg_pricing.vg_closed_form.VGClosedForm(model: LevyModel, option: Option)[source]

Implements the closed-form “numerical” solution for pricing European options under a Variance Gamma (VG) model.

Parameters

modelLevyModel

A LevyModel object specifying the underlying asset’s model and its parameters.

optionOption

An Option object specifying the option parameters: interest rate, strike price, time to maturity, dividend yield and the equivalent martingale measure.

__init__(model: LevyModel, option: Option)[source]

Methods

__init__(model, option)

calculate()

Calculate the European option price.