Multinomial method for option pricing under variance gamma (Q5031847)
From MaRDI portal
 | This is the item page for this Wikibase entity, intended for internal use and editing purposes. Please use this page instead for the normal view: Multinomial method for option pricing under variance gamma |
scientific article; zbMATH DE number 7474856
| Language | Label | Description | Also known as |
|---|---|---|---|
| default for all languages | No label defined |
||
| 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)
0 references
16 February 2022
0 references
American option
0 references
Lévy processes
0 references
moment matching
0 references
multinomial tree
0 references
variance gamma
0 references
0 references
0.8322165608406067
0 references
0.8304322361946106
0 references
0.8082586526870728
0 references
0.8029550313949585
0 references
0.8025844097137451
0 references
