L. Cao and M. C. Fu, “Estimating Greeks for Variance Gamma,” Proceedings of the 2010 Winter Simulation Conference, Baltimore, 5-8 December 2010, pp. 2620- 2628. doi:10.1109/WSC.2010.5678958

has been cited by the following article:

• TITLE: Analysis of Hedging Profits Under Two Stock Pricing Models

  AUTHORS: Lingyan Cao, Zheng-Feng Guo

  KEYWORDS: Likelihood Ratio, Variance Gamma, Geometric Brownian Motion, Delta Hedge

  JOURNAL NAME: Journal of Mathematical Finance, Vol.1 No.3, November 8, 2011

  ABSTRACT: In this paper, we employ two stock pricing models: a Black-Scholes (BS) model and a Variance Gamma (VG) model, and apply the maximum likelihood method (MLE) to estimate corresponding parameters in each model. With the estimated parameters, we conduct Monte Carlo simulations to simulate spot prices and deltas of the European call option at different time spots over different sample paths. We focus on calculating the deltas for the two models by the method of the in?nitesimal perturbation analysis (IPA). Then, we-nally, hedging profits under these two models are calculated and analyzed.