Valuation of American options under the CGMY model (Q4554225): Difference between revisions

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+https://doi.org/10.1080/14697688.2016.1158854
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+W2338529314
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+Accurate Evaluation of European and American Options Under the CGMY Process
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+Normal Inverse Gaussian Distributions and Stochastic Volatility Modelling
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+Processes of normal inverse Gaussian type
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+The Pricing of Options and Corporate Liabilities
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+ALTERNATIVE CHARACTERIZATIONS OF AMERICAN PUT OPTIONS
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+American options on assets with dividends near expiry
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+A MULTINOMIAL APPROXIMATION FOR AMERICAN OPTION PRICES IN LÉVY PROCESS MODELS
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+Publication:4554225