https://github.com/daleroberts/vgfd

Finite difference solver for the 'Variance Gamma' partial-integro differential equation (PIDE)
https://github.com/daleroberts/vgfd

finance numerical-codes option-pricing partial-differential-equations

Last synced: 3 months ago
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Finite difference solver for the 'Variance Gamma' partial-integro differential equation (PIDE)

• Host: GitHub
• URL: https://github.com/daleroberts/vgfd
• Owner: daleroberts
• License: bsd-3-clause
• Created: 2013-06-06T07:00:50.000Z (about 13 years ago)
• Default Branch: master
• Last Pushed: 2015-11-18T05:46:34.000Z (over 10 years ago)
• Last Synced: 2025-03-24T03:43:41.422Z (about 1 year ago)
• Topics: finance, numerical-codes, option-pricing, partial-differential-equations
• Language: Matlab
• Size: 76.2 KB
• Stars: 4
• Watchers: 1
• Forks: 0
• Open Issues: 0
• Metadata Files:
  • Readme: README.md
  • License: LICENSE

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README

          
# Variance-Gamma Option Pricing Model

Solve the Partial-integro differential equation using a finite-difference method

for a European option pricing problem where the underlying has Variance-Gamma

distributed returns.

![plot](https://rawgithub.com/daleroberts/vgfd/master/plot.png)