Pricing Vulnerable Options With Variance Gamma Systematic and Idiosyncratic Factors by Laplace Transform Inversion
研究了包含系统和特质因素的脆弱期权定价，用方差伽马过程模拟价格跳跃，通过拉普拉斯变换和欧拉反演高效计算，发现系统因素受偏度和峰度影响显著。
ABSTRACT This paper studies the pricing of vulnerable options with systematic and idiosyncratic factors incorporated. Variance gamma processes are employed to model price jumps caused by the arrivals of systematic and idiosyncratic relevant information. A parsimonious pricing measure is developed and Laplace transforms of option price and Greek letters are given. Numerical results are obtained by a two‐sided Euler inversion method in an efficient and accuracy way. It shows that in contrast to idiosyncratic factors, the effect of systematic factors on vulnerable options is strongly affected by the skewness and leptokurtosis features of systematic variance gamma processes.