Valuation of American options under the CGMY model
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Publication:4554225
DOI10.1080/14697688.2016.1158854zbMath1400.91594OpenAlexW2338529314MaRDI QIDQ4554225
Publication date: 13 November 2018
Published in: Quantitative Finance (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1080/14697688.2016.1158854
Stopping times; optimal stopping problems; gambling theory (60G40) Derivative securities (option pricing, hedging, etc.) (91G20)
Related Items (6)
An SFP–FCC method for pricing and hedging early-exercise options under Lévy processes ⋮ A Fast Finite Difference Method for Tempered Fractional Diffusion Equations ⋮ A High Order Finite Difference Method for Tempered Fractional Diffusion Equations with Applications to the CGMY Model ⋮ An implicit-explicit preconditioned direct method for pricing options under regime-switching tempered fractional partial differential models ⋮ Tempered fractional diffusion equations for pricing multi-asset options under CGMYe process ⋮ Branching Random Walk Solutions to the Wigner Equation
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