Acta mathematica scientia,Series A ›› 2023, Vol. 43 ›› Issue (5): 1575-1584.

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Application of VG Distortion Operator in Option Pricing

Yao Luogen1,2,Liu Huan1,Chen Qiqiong1,*()   

  1. 1School of Science, Hunan University of Technology and Business, Changsha 410205
    2Key Laboratory of Hunan Province for Statistical Learning and Intelligent Computing, Changsha 410205
  • Received:2020-11-24 Revised:2023-02-22 Online:2023-10-26 Published:2023-08-09
  • Contact: Qiqiong Chen E-mail:qiongzi2004@126.com
  • Supported by:
    Scientific Research Fund of Hunan Provincial Education Department(19A267);Scientific Research Fund of Hunan Provincial Education Department(20A485);Natural Science Foundation of Hunan Province(2022JJ30202);Natural Science Foundation of Hunan Province(2023JJ30196)

Abstract:

Using the idea of probability transformation, VG distortion operator is proposed based on the distribution of VG. It is shown that option prices obtained by VG distortion operator are consistent with option prices obtained under the mean correcting martingale measure in the VG model. The numerical results show that option prices obtained by VG distortion operator are very accurate.

Key words: Option pricing, VG distribution, VG distortion operator

CLC Number: 

  • O211.6
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