Monte Carlo option pricing for tempered stable (CGMY) processes (Q2461281)

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Monte Carlo option pricing for tempered stable (CGMY) processes
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    title
    Monte Carlo option pricing for tempered stable (CGMY) processes (English)
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    author
    Jérémy Poirot
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    Peter Tankov
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    publication date
    27 November 2007
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    Mathematics Subject Classification ID
    91G60
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    91G20
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    60G51
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    zbMATH DE Number
    5214743
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    zbMATH Keywords
    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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