On American Options Under the Variance Gamma Process
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Publication:5297932
DOI10.1080/13504860600724885zbMath1160.91346OpenAlexW1966960624MaRDI QIDQ5297932
Ariel Almendral, Cornelis W. Oosterlee
Publication date: 16 July 2007
Published in: Applied Mathematical Finance (Search for Journal in Brave)
Full work available at URL: https://ir.cwi.nl/pub/12157
Integro-ordinary differential equations (45J05) Complementarity and equilibrium problems and variational inequalities (finite dimensions) (aspects of mathematical programming) (90C33) Finite difference methods for initial value and initial-boundary value problems involving PDEs (65M06) Numerical methods for discrete and fast Fourier transforms (65T50)
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