Option valuation under the VG process by a DG method. (Q2058996)
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scientific article
| Language | Label | Description | Also known as |
|---|---|---|---|
| English | Option valuation under the VG process by a DG method. |
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Option valuation under the VG process by a DG method. (English)
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10 December 2021
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option pricing
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variance gamma process
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integro-differential equation
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American style options
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discontinuous Galerkin method
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semi-implicit discretization
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