Monte Carlo option pricing for tempered stable (CGMY) processes

Asia-Pacific Financial Markets

Volumn 13, Issue 4, 2006, Pages 327-344

  Poirot, Jérémy ^a   Tankov, Peter ^b  

^a INRIA ROCQUENCOURT   (France)

^b UNIVERSITÉ PARIS DESCARTES   (France)

Author keywords

CGMY model; L vy process; Monte Carlo; Option pricing; Tempered stable process

Indexed keywords

EID: 34548666654     PISSN: 13872834     EISSN: None     Source Type: Journal    
DOI: 10.1007/s10690-007-9048-7     Document Type: Conference Paper

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