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Variance Gamma calibration
Posted: February 19th, 2005, 4:41 pm
by hoare
Hi, who suggest me some online references about Variance Gamma model calibration?Thanks...
Variance Gamma calibration
Posted: February 21st, 2005, 3:11 pm
by hoare
no one?
Variance Gamma calibration
Posted: February 22nd, 2005, 10:33 am
by hoare
I can't believe that in this forum rich of specialist no one have a suggestion for my question...Always i received a precious help from experts in this forum...i don't understand why there is only silence!
Variance Gamma calibration
Posted: February 22nd, 2005, 10:39 am
by yomi
Variance Gamma calibration
Posted: February 22nd, 2005, 1:48 pm
by hoare
Thank you, but I want to know if the procedure (maximum lilkelihood estimation) in the paper "Variance Gamma process and option pricing" at page 91 is a good way...In effect the problem is that i never done a calibration, so i'm looking for an explanation on how it can be made in a right way...
Variance Gamma calibration
Posted: February 22nd, 2005, 7:09 pm
by Val
Probably you will find some insights ondbquant site
Variance Gamma calibration
Posted: March 4th, 2006, 3:38 am
by mattmclee
Hi Hoare,I published a paper with the topic of "An Empirical Test of the Variance Gamma Option Pricing Model" in Pacific-Basin Finance Journal. Amsterdam, The Netherlands, Elsevier Science B.V., 10(3): 267-285, in year 2002. In the papaer, I estimated the parameters by using MLE method, the result is quite positive, you may take a look.The paper can be downloaded from: Variance Gamma Options Pricing ModelShould you have any question, please feel free to contact me.Best regards,Matthew MC LEE
Variance Gamma calibration
Posted: March 8th, 2006, 7:47 pm
by wim
We have done a study on VG calibartion on CDSs and calibration of a multivariate VG model on vol surfaces; see my website
Variance Gamma calibration
Posted: March 8th, 2006, 8:36 pm
by Errrb
You might also take a look at bloomberg function SKEW, which allows to extract results of calibration for Equity and Index options
Variance Gamma calibration
Posted: June 22nd, 2009, 3:08 pm
by LiZhou
Fiorani, Luciano and Semeraro provide a detailed description of their calibration of variance gamma parameters in the credit market. They work with a structural model under variance gamma and fit the VG parameters using 18,700 credit default swap spreads on 224 companies. The paper is very detailed in the description of the data used and procedure followed, it is a good reference on the topic. Single and Joint Default in a Structural Model with Purely Discontinuous Assets