Deprecated: $wgMWOAuthSharedUserIDs=false is deprecated, set $wgMWOAuthSharedUserIDs=true, $wgMWOAuthSharedUserSource='local' instead [Called from MediaWiki\HookContainer\HookContainer::run in /var/www/html/w/includes/HookContainer/HookContainer.php at line 135] in /var/www/html/w/includes/Debug/MWDebug.php on line 372
Multinomial method for option pricing under Variance Gamma - MaRDI portal

Multinomial method for option pricing under Variance Gamma (Q5031847)

From MaRDI portal
scientific article; zbMATH DE number 7474856
Language Label Description Also known as
English
Multinomial method for option pricing under Variance Gamma
scientific article; zbMATH DE number 7474856

    Statements

    title
    Multinomial method for option pricing under Variance Gamma (English)
    0 references
    author
    Nicola Cantarutti
    0 references
    João M. E. Guerra
    0 references
    publication date
    16 February 2022
    0 references
    Mathematics Subject Classification ID
    91G20
    0 references
    60G40
    0 references
    45K05
    0 references
    60G51
    0 references
    60G57
    0 references
    60J10
    0 references
    60J22
    0 references
    60H30
    0 references
    zbMATH DE Number
    7474856
    0 references
    zbMATH Keywords
    American option
    0 references
    Lévy processes
    0 references
    moment matching
    0 references
    multinomial tree
    0 references
    variance gamma
    0 references
    OpenAlex ID
    W2569640976
    0 references
    arXiv ID
    1701.00112
    0 references
     
    Retrieved from "https://portal.mardi4nfdi.de/w/index.php?title=Item:Q5031847&oldid=36768275"
    Powered by MediaWiki