Monte Carlo option pricing for tempered stable (CGMY) processes (Q2461281)
From MaRDI portal
scientific article
| Language | Label | Description | Also known as |
|---|---|---|---|
| English | Monte Carlo option pricing for tempered stable (CGMY) processes |
scientific article |
Statements
Monte Carlo option pricing for tempered stable (CGMY) processes (English)
0 references
27 November 2007
0 references
Monte Carlo
0 references
option pricing
0 references
Lévy process
0 references
tempered stable process
0 references
CGMY model
0 references
0 references
