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

DOI10.1080/00207160701874813zbMath1155.91391OpenAlexW2125754842MaRDI QIDQ3603600

Anita Mayo

Publication date: 18 February 2009

Published in: International Journal of Computer Mathematics (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1080/00207160701874813

zbMATH Keywords

option pricingvariance gamma

Mathematics Subject Classification ID

Numerical methods (including Monte Carlo methods) (91G60)

Cites Work

• A Jump-Diffusion Model for Option Pricing
• Jump-diffusion processes: volatility smile fitting and numerical methods for option pricing
• Numerical valuation of options with jumps in the underlying
• A penalty method for American options with jump diffusion processes
• Wavelet Galerkin pricing of American options on Lévy driven assets
• Option pricing when underlying stock returns are discontinuous
• A Semi-Lagrangian Approach for American Asian Options under Jump Diffusion

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