Option pricing under a Gamma-modulated diffusion process
- First Online:
- Cite this article as:
- Iglesias, P., San Martín, J., Torres, S. et al. Ann Finance (2011) 7: 199. doi:10.1007/s10436-011-0176-8
- 156 Downloads
We study a Gamma-modulated diffusion process as a long-memory generalization of the standard Black-Scholes model. This model introduces a time dependent volatility. The option pricing problem associated with this type of processes is computed.