Accurate evaluation of european and American options under the CGMY process

SIAM Journal on Scientific Computing

Volumn 29, Issue 1, 2007, Pages 93-117

  Almendral, Ariel ^a   Oosterlee, Cornelis W ^a  

^a Mathematics and Computer Science ^*  (Netherlands)

Author keywords

Collocation method; Option pricing; Partial integro differential equations

Indexed keywords

ASSET MANAGEMENT; FINITE DIFFERENCE METHOD; INTEGRODIFFERENTIAL EQUATIONS; PROBLEM SOLVING;

COLLOCATION METHODS; OPTION PRICING; PARTIAL INTEGRO-DIFFERENTIAL EQUATIONS;

FINANCIAL DATA PROCESSING;

EID: 39449115453     PISSN: 10648275     EISSN: None     Source Type: Journal    
DOI: 10.1137/050637613     Document Type: Article

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