On the numerical evaluation of option prices in the variance gamma model

ISSN： 0020-7160

Source： International Journal of Computer Mathematics, Vol.86, Iss.2, 2009-02, pp. : 251-260

Disclaimer: Any content in publications that violate the sovereignty, the constitution or regulations of the PRC is not accepted or approved by CNPIEC.

Previous Menu Next

Abstract

Related content

A General Formula for Option Prices in a Stochastic Volatility Model

By Chin Stephen Dufresne Daniel

Applied Mathematical Finance, Vol. 19, Iss. 4, 2012-09 ,pp. : 313-340

Routledge Ltd

Access to resources Recommend Favorite

Probing Option Prices for Information

By Geman Hélyette Madan Dilip Yor Marc

Methodology And Computing In Applied Probability, Vol. 9, Iss. 1, 2007-03 ,pp. : 115-131

Springer Publishing Company

Access to resources Recommend Favorite

Option pricing for infinite variance data

By Ishwaran Hemant

Statistics, Vol. 42, Iss. 3, 2008-06 ,pp. : 245-260

Taylor & Francis Ltd

Access to resources Recommend Favorite

Numerical analysis for Spread option pricing model of markets with finite liquidity: first-order feedback model

International Journal of Computer Mathematics, Vol. 91, Iss. 12, 2014-12 ,pp. : 2603-2620

Taylor & Francis Ltd

Access to resources Recommend Favorite

A note on convergence of option prices and their Greeks for Lévy models

By Benth Fred Espen Nunno Giulia Di Khedher Asma

Stochastics: An International Journal of Probability and Stochastic Processes, Vol. 85, Iss. 6, 2013-12 ,pp. : 1015-1039

Taylor & Francis Ltd

Access to resources Recommend Favorite