Author:
Chan Ron Tat Lung,Hubbert Simon
Publisher
Springer Science and Business Media LLC
Subject
Economics, Econometrics and Finance (miscellaneous),Finance
Reference55 articles.
1. Almendral, A. (2004). Numerical valuation of American options under the CGMY process. In W. Schoutens, A. Kyprianou, & P. Wilmott (Eds.), Exotic option pricing and advanced lévy models. UK: Wiley.
2. Almendral, A., & Oosterlee, C. (2005). Numerical valuation of options with jumps in the underlying. Applied Numerical Mathematics, 53, 1–18.
3. Almendral, A., & Oosterlee, C. W. (2006a). On American options under the variance gamma process. Applied Mathematical Finance, 10, 131–152.
4. Almendral, A., & Oosterlee, C. W. (2006b). Highly accurate evaluation of European and American options under the variance gamma process. Journal of Computational Finance, 10, 21–42.
5. Almendral, A., & Oosterlee, C. W. (2007). Accurate evaluation of European and American options under the CGMY process. SIAM Journal on Scientific Computing, 29, 93–117.
Cited by
24 articles.
订阅此论文施引文献
订阅此论文施引文献，注册后可以免费订阅5篇论文的施引文献，订阅后可以查看论文全部施引文献