European Option price in VG model using Finite difference [Excel VBA]

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European Option price in VG model using Finite difference
Submitter: vanna	Date: 2007/3/21

Description: Calculates price of European Option in variance gamma model using finite difference. Results are compared to VG Option Price using Monte Carlo simulation keywords : PIDE, VG Got a question or problem with this link? Just enter your message and click on submit. No registration is required. Note: A copy of this message will also be emailed to the submitter of this link
1404 0 bytes Excel VBA http://www.quantcode.com/
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