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On the numerical evaluation of option prices in the variance gamma model - MaRDI portal

On the numerical evaluation of option prices in the variance gamma model (Q3603600)

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On the numerical evaluation of option prices in the variance gamma model
scientific article

    Statements

    title
    On the numerical evaluation of option prices in the variance gamma model (English)
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    author
    Anita Mayo
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    publication date
    18 February 2009
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    zbMATH Keywords
    option pricing
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    variance gamma
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    Identifiers

    zbMATH DE Number
    5508906
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    OpenAlex ID
    W2125754842
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