Multinomial method for option pricing under Variance Gamma (Q5031847)
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scientific article; zbMATH DE number 7474856
| Language | Label | Description | Also known as |
|---|---|---|---|
| English | Multinomial method for option pricing under Variance Gamma |
scientific article; zbMATH DE number 7474856 |
Statements
Multinomial method for option pricing under Variance Gamma (English)
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16 February 2022
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American option
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Lévy processes
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moment matching
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multinomial tree
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variance gamma
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