Dynamic programming for valuing American options under a variance‐gamma process

Author:

Ben‐Ameur Hatem1,Chérif Rim1ORCID,Rémillard Bruno1

Affiliation:

1. HEC Montréal3000 chemin de la Côte Sainte‐Catherine Montréal Québec Canada

Funder

Natural Sciences and Engineering Research Council of Canada

Fonds pour la Formation de Chercheurs et l'Aide à la Recherche

Publisher

Wiley

Subject

Economics and Econometrics,Finance,General Business, Management and Accounting,Accounting

Cited by 3 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

1. Stable paretian distribution, return generating processes and habit formation—The implication for equity premium puzzle;The North American Journal of Economics and Finance;2024-01

2. American option evaluations using higher moments;Studies in Economics and Finance;2023-11-21

3. Optimization strategy of crossing the desert game based on heuristic algorithm;2020 International Conference on Big Data & Artificial Intelligence & Software Engineering (ICBASE);2020-10

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