An SFP–FCC method for pricing and hedging early-exercise options under Lévy processes-Reference-Cited by-同舟云学术

An SFP–FCC method for pricing and hedging early-exercise options under Lévy processes

Published:2020-04-07 Issue:8 Volume:20 Page:1325-1343
ISSN:1469-7688
Container-title:Quantitative Finance
language:en
Short-container-title:Quantitative Finance

Author:

Chan Tat Lung (Ron)¹^ORCID

Affiliation:

1. School of Business, University of East London, Water Lane, Stratford, London E15 4LZ, UK

Publisher

Informa UK Limited

Subject

General Economics, Econometrics and Finance,Finance

Link

https://www.tandfonline.com/doi/pdf/10.1080/14697688.2020.1736322

Reference48 articles.

1. Almendral, A., Numerical valuation of American options under the CGMY process, 2005. Available online at: https://www.nr.no/directdownload/4289/Almendral_Vazquez_-_Numerical_Valuation_of_American_Options_Under_the.pdf.

2. On American Options Under the Variance Gamma Process

3. Universal option valuation using quadrature methods

4. Lévy Processes and Stochastic Calculus

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