On American Options Under the Variance Gamma Process (Q5297932)

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scientific article; zbMATH DE number 5171068
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On American Options Under the Variance Gamma Process
scientific article; zbMATH DE number 5171068

    Statements

    On American Options Under the Variance Gamma Process (English)
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    16 July 2007
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    integro-differential equations
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    variance gamma
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    finite differences
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    FFT
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