Robust and Nearly Exact Option Pricing with Bilateral Gamma Processes
Jean-Philippe Aguilar and Justin Kirkby
The Journal of Derivatives Fall 2022, jod.2022.1.163; DOI: https://doi.org/10.3905/jod.2022.1.163
Jean-Philippe Aguilar
is the head of market models audit at Société Générale, Paris
Justin Kirkby
is a quantitative research manager for Intercontinental Exchange in Atlanta, GA
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In this issue
The Journal of Derivatives
Vol. 29, Issue 5
Summer 2022
Robust and Nearly Exact Option Pricing with Bilateral Gamma Processes
Jean-Philippe Aguilar, Justin Kirkby
The Journal of Derivatives Jun 2022, jod.2022.1.163; DOI: 10.3905/jod.2022.1.163