Re: [Quantlib-users] Is a gamma pricing model available?

[Peng Yu <pen...@gm...>]

I see the following two methods in this direction.

Pricing American Options Under Variance Gamma
https://www.math.columbia.edu/~smirnov/Alihirsa.pdf

A fast method for pricing American options under the variance gamma model
http://arxiv-export-lb.library.cornell.edu/abs/1903.07519v1

I also notice there is VarianceGammaProcess in quantlib. Does
VarianceGammaProcess implement any of these two methods? Or it is
something totally different?

I want to model American options. I tried the following code (full
code attached).

american_option.setPricingEngine(
ql.BinomialVanillaEngine(
process = ql.VarianceGammaProcess(
ql.QuoteHandle(
ql.SimpleQuote(spot_price)
)
, ql.YieldTermStructureHandle(
ql.FlatForward(calculation_date, dividend_rate, day_count)
)
, ql.YieldTermStructureHandle(
ql.FlatForward(calculation_date, risk_free_rate, day_count)
)
, sigma = 0.2
, nu = 1
, theta = 1
)
, type = 'crr'
, steps = 200)
)

But I got the following error. I am not sure what the meaning of the
error is. Does it mean BinomialVanillaEngine is not compatible with
VarianceGammaProcess? Could anybody show me the correct way to price
American options using variance Gamma processes?

Traceback (most recent call last):
  File "./main.py", line 26, in <module>
    ql.BinomialVanillaEngine(
  File "/Library/Frameworks/Python.framework/Versions/3.8/lib/python3.8/site-packages/QuantLib/QuantLib.py",
line 12456, in BinomialVanillaEngine
    return cls(process, steps)
  File "/Library/Frameworks/Python.framework/Versions/3.8/lib/python3.8/site-packages/QuantLib/QuantLib.py",
line 12365, in __init__
    _QuantLib.BinomialCRRVanillaEngine_swiginit(self,
_QuantLib.new_BinomialCRRVanillaEngine(arg2, steps))
TypeError: in method 'new_BinomialCRRVanillaEngine', argument 1 of
type 'ext::shared_ptr< GeneralizedBlackScholesProcess > const &'

> I see a gamma pricing model is mentioned below. But I don't see any
> formula in the page. Does anybody where I can find a more detailed
> description of the gamma pricing model?
>
> Does quantlib have an implementation of a gamma pricing model? (I
> don't find it. But I may miss it.)
>
> https://www.investopedia.com/terms/g/gamma-pricing-model.asp

-- 
Regards,
Peng