Permana, F.J., Lesmono, D. and Chendra, E. (2011) Modelling Indonesian Stock Indices using Variance Gamma. Proceedings of the World Congress on Engineering and Technology, Shanghai, 28 October-2 November 2011.

has been cited by the following article:

• TITLE: Valuation of Asian American Option Using a Modified Path Simulation Method

  AUTHORS: Ferry Jaya Permana, Dharma Lesmono, Erwinna Chendra

  KEYWORDS: Asian American Option, European American Option, Variance Gamma Process, Path Simulation Model

  JOURNAL NAME: World Journal of Engineering and Technology, Vol.3 No.3C, October 23, 2015

  ABSTRACT: In this paper, we use a modified path simulation method for valuation of Asian American Options. This method is a modification of the path simulation model proposed by Tiley. We assume that the behavior of the log return of the underlying assets follows the Variance Gamma (VG) process, since its distribution is heavy tail and leptokurtic. We provide sensitivity analysis of this method and compare the obtained prices to Asian European option prices.