On American Options Under the Variance Gamma Process
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Integro-ordinary differential equations (45J05) Finite difference methods for initial value and initial-boundary value problems involving PDEs (65M06) Numerical methods for discrete and fast Fourier transforms (65T50) Complementarity and equilibrium problems and variational inequalities (finite dimensions) (aspects of mathematical programming) (90C33)
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Cites work
- A Finite Difference Scheme for Option Pricing in Jump Diffusion and Exponential Lévy Models
- A penalty method for American options with jump diffusion processes
- Financial Modelling with Jump Processes
- scientific article; zbMATH DE number 43732 (Why is no real title available?)
- scientific article; zbMATH DE number 47851 (Why is no real title available?)
- scientific article; zbMATH DE number 53687 (Why is no real title available?)
- scientific article; zbMATH DE number 1095739 (Why is no real title available?)
- Jump-diffusion processes: volatility smile fitting and numerical methods for option pricing
- Minkowski matrices.
- Numerical Analysis of American Option Pricing in a Jump-Diffusion Model
- Numerical valuation of options with jumps in the underlying
- Partially implicit BDF2 blends for convection-dominated flows
- Some remarks on first passage of Lévy processes, the American put and pasting principles
- The Variance Gamma Process and Option Pricing
- Variational inequalities and the pricing of American options
Cited in
(29)- Pricing American options for jump diffusions by iterating optimal stopping problems for diffusions
- On risk measuring in the variance-gamma model
- On computing the price of financial instruments in foreign currency
- A finite difference scheme for pricing American put options under Kou's jump-diffusion model
- Convertible bond pricing with partial integro-differential equation model
- Option valuation under the VG process by a DG method.
- Multigrid method for pricing European options under the CGMY process
- Construction and sampling of Archimedean and nested Archimedean Lévy copulas
- Some remarks on first passage of Lévy processes, the American put and pasting principles
- Explicit representations for the expectations of exponential functionals of the multi-factor variance gamma process and their applications
- Fourier Cosine Expansions and Put–Call Relations for Bermudan Options
- A fast and accurate lattice model to evaluate options under the variance gamma process
- On exact pricing of FX options in multivariate time-changed Lévy models
- Pricing permanent convertible bonds in EVG model
- Jump tail dependence in Lévy copula models
- Valuation of American options under the CGMY model
- Option pricing in the variance-gamma model under the drift jump
- A radial basis function scheme for option pricing in exponential Lévy models
- First steps towards an equilibrium theory for Lévy financial markets
- Options pricing under the one-dimensional jump-diffusion model using the radial basis function interpolation scheme
- PRICING AMERICAN OPTIONS WITH THE RUNGE–KUTTA–LEGENDRE FINITE DIFFERENCE SCHEME
- Multinomial method for option pricing under variance gamma
- An SFP-FCC method for pricing and hedging early-exercise options under Lévy processes
- Willow tree method for European and American option pricing under variance Gamma model
- A posteriori error analysis for a class of integral equations and variational inequalities
- Exotic options under Lévy models: an overview
- Pricing early-exercise and discrete barrier options by Fourier-cosine series expansions
- Retracted article: The distribution of the maximum of a variance gamma process and path-dependent option pricing
- Solving partial integro-differential option pricing problems for a wide class of infinite activity Lévy processes
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