Monte Carlo option pricing for tempered stable (CGMY) processes (Q2461281): Difference between revisions

From MaRDI portal
Import240304020342 (talk | contribs)
Set profile property.
ReferenceBot (talk | contribs)
Changed an Item
 
(One intermediate revision by one other user not shown)
Property / full work available at URL
 
Property / full work available at URL: https://doi.org/10.1007/s10690-007-9048-7 / rank
 
Normal rank
Property / OpenAlex ID
 
Property / OpenAlex ID: W2026665899 / rank
 
Normal rank
Property / cites work
 
Property / cites work: Approximations of small jumps of Lévy processes with a view towards simulation / rank
 
Normal rank
Property / cites work
 
Property / cites work: Q4331490 / rank
 
Normal rank
Property / cites work
 
Property / cites work: A Method for Simulating Stable Random Variables / rank
 
Normal rank
Property / cites work
 
Property / cites work: Q4524816 / rank
 
Normal rank
Property / cites work
 
Property / cites work: Financial Modelling with Jump Processes / rank
 
Normal rank
Property / cites work
 
Property / cites work: A Finite Difference Scheme for Option Pricing in Jump Diffusion and Exponential Lévy Models / rank
 
Normal rank
Property / cites work
 
Property / cites work: Q2738738 / rank
 
Normal rank
Property / cites work
 
Property / cites work: Tempering stable processes / rank
 
Normal rank
Property / cites work
 
Property / cites work: Q4937701 / rank
 
Normal rank

Latest revision as of 13:33, 27 June 2024

scientific article
Language Label Description Also known as
English
Monte Carlo option pricing for tempered stable (CGMY) processes
scientific article

    Statements

    Monte Carlo option pricing for tempered stable (CGMY) processes (English)
    0 references
    0 references
    0 references
    27 November 2007
    0 references
    0 references
    0 references
    0 references
    0 references
    Monte Carlo
    0 references
    option pricing
    0 references
    Lévy process
    0 references
    tempered stable process
    0 references
    CGMY model
    0 references
    0 references