Variance Gamma Option Pricing

Price European call options using the Variance Gamma (VG) model. The VG model is a pure jump process (no continuous diffusion) that effectively captures the leptokurtic (fat-tailed) and skewed nature of asset returns. It’s computationally efficient and provides excellent fits to market option prices, making it popular for equity and FX derivatives. [Tier: ENTERPRISE, Credits: 10]

POST /quantlib/models/variance-gamma/price

Variance Gamma Option Pricing

cURL

curl --request POST \
  --url https://api.fincept.in/quantlib/models/variance-gamma/price \
  --header 'Content-Type: application/json' \
  --header 'X-API-Key: <api-key>' \
  --data '
{
  "S": 100,
  "K": 100,
  "T": 1,
  "r": 0.05,
  "sigma": 0.22,
  "theta_vg": -0.15,
  "nu": 0.25,
  "q": 0
}
'

200

{
  "success": true,
  "data": {
    "vg_call_price": 8.73
  }
}

Authorizations

X-API-Key · string · header · required

API key for authentication. Get your key at https://api.fincept.in/auth/register

Body

application/json

S · number · required

Current stock price

K · number · required

Strike price

T · number · required

Time to maturity in years

r · number · required

Risk-free rate

sigma · number · required

VG volatility parameter (controls overall volatility level)

theta_vg · number · required

VG drift/skewness parameter. Negative = left skew (typical for equities). Typical: -0.2 to 0

nu · number · required

VG kurtosis parameter (controls tail heaviness). Higher = fatter tails. Typical: 0.1-0.5

q · number · default: 0

Dividend yield

Response

200

application/json

Successfully priced Variance Gamma option

success · boolean

Example:

true

data · object

Show child attributes

Example:

{ "vg_call_price": 8.73 }