- QuantLib
- VarianceGammaModel
 
Variance Gamma model. More...
#include <ql/experimental/variancegamma/variancegammamodel.hpp>

| 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_ | 
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