Accurate Evaluation of European and American Options Under the CGMY Process

Almendral Vazquez, Ariel; Oosterlee, Cornelis

February 01, 2007

SAND

• ISBN:
• Author(s): Almendral Vazquez, Ariel; Oosterlee, Cornelis
• Title: Accurate Evaluation of European and American Options Under the CGMY Process
• Volume/number: 29/1
• Name and number of project:
• Journal: SIAM Journal on Scientific Computing
• Page(s): 93-117
• Conference:
• Refereed: 1
• Publisher:
• Published date: February 01, 2007
• Book title:
• Editor: