Highly Accurate Evaluation of European and American Options Under the Variance Gamma Process

Research output: Contribution to journal › Article › Scientific

Original language	Undefined/Unknown
Pages (from-to)	21-42
Number of pages	22
Journal	The Journal of Computational Finance
Volume	10
Issue number	1
Publication status	Published - 2006

Keywords

@article{865a682569d74a6592bbbd473c10c853,

title = "Highly Accurate Evaluation of European and American Options Under the Variance Gamma Process",

keywords = "professional journal papers, Vakpubl., Overig wet. > 3 pag",

author = "A Almendral and CW Oosterlee",

year = "2006",

language = "Undefined/Unknown",

volume = "10",

pages = "21--42",

journal = "The Journal of Computational Finance",

issn = "1460-1559",

publisher = "Incisive Media Ltd.",

number = "1",

}

TY - JOUR

T1 - Highly Accurate Evaluation of European and American Options Under the Variance Gamma Process

AU - Almendral, A

AU - Oosterlee, CW

PY - 2006

Y1 - 2006

KW - professional journal papers

KW - Vakpubl., Overig wet. > 3 pag

UR - http://www.thejournalofcomputationalfinance.com/

M3 - Article

SN - 1460-1559

VL - 10

SP - 21

EP - 42

JO - The Journal of Computational Finance

JF - The Journal of Computational Finance

IS - 1

ER -