Archived publication
Archived publication
Numerical Valuation of American Options Under the CGMY Process
4289/Almendral_Vazquez_-_Numerical_Valuation_of_American_Options_Under_the.pdf
June 01, 2005
SAND
- Published date: June 01, 2005
- Publisher: Wiley
- Refereed: 1
- Filename: 4289/Almendral_Vazquez_-_Numerical_Valuation_of_American_Options_Under_the.pdf
- Conference: "Exotic option pricing under advanced Lévy models" EURANDOM, Eindhoven, The Netherlands
- Page(s):
- Journal:
- Name and number of project: Prising av derivater
- Volume/number:
- Title: Numerical Valuation of American Options Under the CGMY Process
- Author(s): Almendral Vazquez, Ariel; Oosterlee, Cornelis
- ISBN: 0-470-01684-1
- Book title: Exotic Option Pricing and Advanced Levy Models
- Editor: Schoutens, Wim; Kyprianou, Andreas; Wilmott, Paul