Highly accurate evaluation of European and American options under the Variance Gamma process

Almendral Vazquez, Ariel; Oosterlee, Cornelis

October 01, 2006

SAND

• ISBN:
• Author(s): Almendral Vazquez, Ariel; Oosterlee, Cornelis
• Title: Highly accurate evaluation of European and American options under the Variance Gamma process
• Volume/number: 10/1
• Name and number of project:
• Journal: The Journal of Computational Finance
• Page(s): 21-40
• Conference:
• Refereed: 1
• Publisher:
• Published date: October 01, 2006
• Book title:
• Editor: