On American options under the variance gamma process

Applied Mathematical Finance

Volumn 14, Issue 2, 2007, Pages 131-152

  Almendral, Ariel ^a,c   Oosterlee, Cornelis W ^b  

^a NORWEGIAN COMPUTING CENTER   (Norway)

^b DELFT UNIVERSITY OF TECHNOLOGY   (Netherlands)

^c DELFT UNIVERSITY OF TECHNOLOGY   (Netherlands)

Author keywords

FFT; Finite differences; Integro differential equations; Variance gamma

Indexed keywords

EID: 34249097117     PISSN: 1350486X     EISSN: 14664313     Source Type: Journal    
DOI: 10.1080/13504860600724885     Document Type: Article

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