Option Pricing in Some Non-Lévy Jump Models
Author:
Publisher
Society for Industrial & Applied Mathematics (SIAM)
Subject
Applied Mathematics,Computational Mathematics
Link
http://epubs.siam.org/doi/pdf/10.1137/15M1048926
Reference39 articles.
1. Feller processes of normal inverse Gaussian type
2. THE EIGENFUNCTION EXPANSION METHOD IN MULTI-FACTOR QUADRATIC TERM STRUCTURE MODELS
3. American Option Valuation: New Bounds, Approximations, and a Comparison of Existing Methods
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