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POST
/
quantlib
/
models
/
variance-gamma
/
price
Variance Gamma Option Pricing
curl --request POST \
  --url https://finceptbackend.share.zrok.io/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
}
'
{
  "success": true,
  "data": {
    "vg_call_price": 8.73
  }
}

Authorizations

​
X-API-Key
string
header
required

API key for authentication. Get your key at https://finceptbackend.share.zrok.io/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

Successfully priced Variance Gamma option

​
success
boolean
Example:

true

​
data
object
Example:
{ "vg_call_price": 8.73 }