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Description:

The demonstration compares the values of the vanilla European Call and Put options in the Black-Scholes model with the values of the same options in the Variance Gamma model. The strike price is fixed at 100. The control parameters volatility, risk-free interest rate and time to expiry are shared by both models while the parameters "drift" and "gamma variance" affect only the Variance Gamma model.

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      Keywords:

      EUN,LOM,LRE4,work-cmr-id:398992,http://demonstrations.wolfram.com:http://demonstrations.wolfram.com/OptionPricesInTheVarianceGammaModel/,ilox,learning resource exchange,LRE metadata application profile,LRE

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