Journal of Computational Finance

Risk.net

Highly accurate evaluation of European and American options under the Variance Gamma process

Ariel Almendral, CornelisW. Oosterlee

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.

To continue reading...

You need to sign in to use this feature. If you don’t have a Risk.net account, please register for a trial.

Sign in
You are currently on corporate access.

To use this feature you will need an individual account. If you have one already please sign in.

Sign in.

Alternatively you can request an indvidual account here: