Multinomial method for option pricing under Variance Gamma

DOI10.1080/00207160.2018.1427853zbMath1481.91209arXiv1701.00112OpenAlexW2569640976MaRDI QIDQ5031847

Nicola Cantarutti, João M. E. Guerra

Publication date: 16 February 2022

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

Full work available at URL: https://arxiv.org/abs/1701.00112

zbMATH Keywords

Lévy processesAmerican optionmoment matchingvariance gammamultinomial tree

Mathematics Subject Classification ID

Computational methods in Markov chains (60J22) Processes with independent increments; Lévy processes (60G51) Integro-partial differential equations (45K05) Markov chains (discrete-time Markov processes on discrete state spaces) (60J10) Applications of stochastic analysis (to PDEs, etc.) (60H30) Stopping times; optimal stopping problems; gambling theory (60G40) Derivative securities (option pricing, hedging, etc.) (91G20) Random measures (60G57)

Related Items (2)

SOME PRICING TOOLS FOR THE VARIANCE GAMMA MODEL ⋮ Option valuation under the VG process by a DG method.

Cites Work

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