On American Options Under the Variance Gamma Process (Q5297932): Difference between revisions

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-Cornelis W. Oosterlee
@@ Property / author: Cornelis W. Oosterlee / rank @@
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+Cornelis W. Oosterlee
@@ Property / author: Cornelis W. Oosterlee / rank @@
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+MaRDI publication profile
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+W1966960624
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@@ Property / cites work @@
+Some remarks on first passage of Lévy processes, the American put and pasting principles
+Normal rank
@@ Property / cites work @@
+Numerical valuation of options with jumps in the underlying
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@@ Property / cites work @@
+Jump-diffusion processes: volatility smile fitting and numerical methods for option pricing
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@@ Property / cites work @@
+The Variance Gamma Process and Option Pricing
@@ Property / cites work: The Variance Gamma Process and Option Pricing / rank @@
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@@ Property / cites work @@
+Financial Modelling with Jump Processes
@@ Property / cites work: Financial Modelling with Jump Processes / rank @@
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+A Finite Difference Scheme for Option Pricing in Jump Diffusion and Exponential Lévy Models
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+Minkowski matrices.
@@ Property / cites work: Minkowski matrices. / rank @@
+Normal rank
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+A penalty method for American options with jump diffusion processes
+Normal rank
@@ Property / cites work @@
+Partially Implicit BDF2 Blends for Convection Dominated Flows
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@@ Property / cites work @@
+Variational inequalities and the pricing of American options
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@@ Property / cites work @@
+Q4368791
@@ Property / cites work: Q4368791 / rank @@
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@@ Property / cites work @@
+Q3998930
@@ Property / cites work: Q3998930 / rank @@
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+Q3993078
@@ Property / cites work: Q3993078 / rank @@
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@@ Property / cites work @@
+Q4003887
@@ Property / cites work: Q4003887 / rank @@
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@@ Property / cites work @@
+Numerical Analysis of American Option Pricing in a Jump-Diffusion Model
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@@ links / mardi / name / links / mardi / name @@
+Publication:5297932