Accurate Evaluation of European and American Options Under the CGMY Process
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Publication:5444244
DOI10.1137/050637613zbMath1151.91473OpenAlexW2155151872MaRDI QIDQ5444244
Ariel Almendral, Cornelis W. Oosterlee
Publication date: 25 February 2008
Published in: SIAM Journal on Scientific Computing (Search for Journal in Brave)
Full work available at URL: http://resolver.tudelft.nl/uuid:8c253c51-1ed0-4121-8dfc-a04bd4bd6a82
Numerical methods for integral equations (65R20) Integro-partial differential equations (45K05) Volterra integral equations (45D05)
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