Re: Variance Gamma implementation in Quantlib?

Posted by James Hirschorn on Jul 27, 2010; 12:43pm
URL: http://quantlib.414.s1.nabble.com/Variance-Gamma-implementation-in-Quantlib-tp7471p7472.html

There is some implementation of Variance Gamma in "ql/experimental/variancegamma". I haven't had a chance to try it myself yet.

James

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From: piers august <[hidden email]>
To: [hidden email]
Sent: Tue, July 27, 2010 6:50:15 AM
Subject: [Quantlib-users] Variance Gamma implementation in Quantlib?

Hi All,

Is there such for vanilla options in the Quantlib or plans to add it at anytime if not?

I'm aware of this:
http://www.amazon.com/Option-Pricing-Under-Variance-Process/dp/3639188799

thanks
Piers

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