英文标题：
《A fast method for pricing American options under the variance gamma
model》
---
作者：
Weilong Fu and Ali Hirsa
---
最新提交年份：
2019
---
英文摘要：
We investigate methods for pricing American options under the variance gamma model. The variance gamma process is a pure jump process which is constructed by replacing the calendar time by the gamma time in a Brownian motion with drift, which makes it a time-changed Brownian motion. In general, the finite difference method and the simulation method can be used for pricing under this model, but their speed is not satisfactory. So there is a need for fast but accurate approximation methods. In the case of Black-Merton-Scholes model, there are fast approximation methods, but they cannot be utilized for the variance gamma model. We develop a new fast method inspired by the quadratic approximation method, while reducing the error by making use of a machine learning technique on pre-calculated quantities. We compare the performance of our proposed method with those of the existing methods and show that this method is efficient and accurate for practical use.
---
中文摘要：
我们研究了方差伽马模型下美式期权的定价方法。方差gamma过程是一个纯跳跃过程，它是在带有漂移的布朗运动中用gamma时间代替日历时间构造的，这使得它成为一个时变的布朗运动。一般来说，有限差分法和模拟法可以用于该模型下的定价，但其速度并不令人满意。因此，需要快速但准确的近似方法。对于Black Merton-Scholes模型，有快速近似方法，但它们不能用于方差gamma模型。受二次近似法的启发，我们开发了一种新的快速方法，同时通过对预先计算的量使用机器学习技术来减少误差。我们将所提出的方法与现有方法的性能进行了比较，结果表明该方法在实际应用中是有效和准确的。
---
分类信息：

一级分类：Quantitative Finance 数量金融学
二级分类：Computational Finance 计算金融学
分类描述：Computational methods, including Monte Carlo, PDE, lattice and other numerical methods with applications to financial modeling
计算方法，包括蒙特卡罗，偏微分方程，格子和其他数值方法，并应用于金融建模
--
一级分类：Quantitative Finance 数量金融学
二级分类：Mathematical Finance 数学金融学
分类描述：Mathematical and analytical methods of finance, including stochastic, probabilistic and functional analysis, algebraic, geometric and other methods
金融的数学和分析方法，包括随机、概率和泛函分析、代数、几何和其他方法
--

---
PDF下载：
-->