Journal of Computational Finance
ISSN:
1460-1559 (print)
1755-2850 (online)
Editor-in-chief: Christoph Reisinger
Highly accurate evaluation of European and American options under the Variance Gamma process
Ariel Almendral, CornelisW. Oosterlee
Abstract
ABSTRACT
European and American option prices under the Variance Gamma process are computed with high accuracy by numerically solving the corresponding partial integro-differential equation on a stretched grid.
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