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

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+Some remarks on first passage of Lévy processes, the American put and pasting principles
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+Numerical valuation of options with jumps in the underlying
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+Jump-diffusion processes: volatility smile fitting and numerical methods for option pricing
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+The Variance Gamma Process and Option Pricing
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+Financial Modelling with Jump Processes
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+A Finite Difference Scheme for Option Pricing in Jump Diffusion and Exponential Lévy Models
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+Minkowski matrices.
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+A penalty method for American options with jump diffusion processes
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+Partially Implicit BDF2 Blends for Convection Dominated Flows
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+Variational inequalities and the pricing of American options
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+Q4368791
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+Q3998930
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+Q3993078
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+Q4003887
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+Numerical Analysis of American Option Pricing in a Jump-Diffusion Model
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