The Alternating Direction Explicit (ADE) Method for One-Factor Problems: Wilmott Magazine Article – Guillaume Pealat and Daniel J. Duffy

The paper presents an application of the Variance-Gamma distribution to price multivariate derivatives. The paper focuses on the practical implementation of the model in a multivariate setting. Several calibration procedures are discussed and applied to examples. In particular, we focus on the pricing differences for several exotic structures between the MultiVariate Variance-Gamma Model and the MultiVariate Black-Scholes Flat Volatility Model.

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