Pricing American Options in an Infinite Activity Lévy Market: Monte Carlo and Deterministic Approaches Using a Diffusion Approximation (Q2917436)
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| Language | Label | Description | Also known as |
|---|---|---|---|
| English | Pricing American Options in an Infinite Activity Lévy Market: Monte Carlo and Deterministic Approaches Using a Diffusion Approximation |
scientific article |
Statements
Pricing American Options in an Infinite Activity Lévy Market: Monte Carlo and Deterministic Approaches Using a Diffusion Approximation (English)
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28 September 2012
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CGMY process
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finite element method
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Galerkin method
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Lévy process
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Monte Carlo least squares option pricing
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