Valuation of American options under the CGMY model (Q4554225)
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scientific article; zbMATH DE number 6976823
| Language | Label | Description | Also known as |
|---|---|---|---|
| English | Valuation of American options under the CGMY model |
scientific article; zbMATH DE number 6976823 |
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Valuation of American options under the CGMY model (English)
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13 November 2018
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CGMY model
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American option
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decomposition formula
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optimal-exercise boundary
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approximate solution
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