Dynamic programming for valuing American options under a variance‐gamma process-Reference-Cited by-同舟云学术

登录注册会员服务联系我们

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

Published:2020-07-03 Issue:10 Volume:40 Page:1548-1561
ISSN:0270-7314
Container-title:Journal of Futures Markets
language:en
Short-container-title:J Futures Markets

Author:

Ben‐Ameur Hatem¹,Chérif Rim¹^ORCID,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

Link

https://onlinelibrary.wiley.com/doi/pdf/10.1002/fut.22148

Reference30 articles.

1. Accurate Evaluation of European and American Options Under the CGMY Process

2. On American Options Under the Variance Gamma Process

3. Oil price dynamics (2002–2006)

4. Efficient Monte Carlo and Quasi–Monte Carlo Option Pricing Under the Variance Gamma Model

5. Unbiased Monte Carlo valuation of lookback, swing and barrier options with continuous monitoring under variance gamma models

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

同舟云学术

1.学者识别学者识别

2.学术分析学术分析

3.人才评估人才评估

"同舟云学术"是以全球学者为主线，采集、加工和组织学术论文而形成的新型学术文献查询和分析系统，可以对全球学者进行文献检索和人才价值评估。用户可以通过关注某些学科领域的顶尖人物而持续追踪该领域的学科进展和研究前沿。经过近期的数据扩容，当前同舟云学术共收录了国内外主流学术期刊6万余种，收集的期刊论文及会议论文总量共计约1.5亿篇，并以每天添加12000余篇中外论文的速度递增。我们也可以为用户提供个性化、定制化的学者数据。欢迎来电咨询！咨询电话：010-8811{复制后删除}0370

www.globalauthorid.com

TOP

Copyright © 2019-2024 北京同舟云网络信息技术有限公司
京公网安备11010802033243号京ICP备18003416号-3