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From: Paul on 20 Jul 2010 19:14
Does anyone have any references or knowledge on the cdf for a variance
gamma process?
I understand that the integral doesn't have a closed form, but what
can be said about the practical issues of ensuring a workable
numerical integration procedure with reasonable accuracy and
efficiency?

I have scoured a lot of references to variance gamma but seen nothing
on the cdf. [By "cdf", I mean the cdf of the probability density
function that arises when a fixed time to expiry, t, is chosen].

Thank you very much for your help,

Paul Epstein
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