Monte Carlo option pricing for tempered stable (CGMY) processes (Q2461281): Difference between revisions
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Revision as of 08:12, 5 March 2024
scientific article
| Language | Label | Description | Also known as |
|---|---|---|---|
| English | Monte Carlo option pricing for tempered stable (CGMY) processes |
scientific article |
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Monte Carlo option pricing for tempered stable (CGMY) processes (English)
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27 November 2007
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Monte Carlo
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option pricing
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Lévy process
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tempered stable process
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CGMY model
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