The pricing of compound option under variance gamma process by FFT

DOI10.1080/03610926.2020.1740268OpenAlexW3012416855MaRDI QIDQ5079198

No author found.

Publication date: 25 May 2022

Published in: Communications in Statistics - Theory and Methods (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1080/03610926.2020.1740268

zbMATH Keywords

Fourier transformvariance gamma processcompound optionFFT algorithmesscher transform

Mathematics Subject Classification ID

Statistics (62-XX)

Cites Work

• The Pricing of Options and Corporate Liabilities
• The compound option approach to American options on jump-diffusions
• Fast Fourier transform: algorithms and applications
• Processes of normal inverse Gaussian type
• A generalization of the Geske formula for compound options
• Minimal entropy preserves the Lévy property: how and why
• Efficient pricing of Bermudan options using recombining quadratures
• Option Pricing With V. G. Martingale Components¹
• The Variance Gamma Process and Option Pricing
• Unnamed Item
• Unnamed Item
• Unnamed Item

This page was built for publication: The pricing of compound option under variance gamma process by FFT