Recent content by ccnew

The Variance Gamma model is an extention of the Black Scholes model which allows to take in account that the stock price proces can have jumps (this isn't so in the Black Scholes model because there one assumes a normal distributed stock price proces so the chance of having a large crash or...

I have to set up a technical Variance Gamma model and compare the prices I calculate with that model with the market prices of European options on a stock/index. By doing so I can find optimal parameters for this Variance Gamma model and can use it to price some kind of structured product using...

Thank u! Is their an easy way to check if there are dividends, and hence: can I find relatively easily also some other options on non-dividend paying stocks/indices? Or how did you know that this FTSE 100 index doesn't reinvest dividends: based on experience?

Hi, For a paper I have to look for option prices on a stock or an index which doesn't pay out dividends. But in my search for options that are liquid traded, it is hard to find options on stocks/indices that don't pay out dividends. I hope some-one here can give me a hint??? Thanks.