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Archived publication

Numerical Valuation of American Options Under the CGMY Process

Almendral Vazquez, Ariel; Oosterlee, Cornelis

June 01, 2005

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  • Published date: June 01, 2005
  • Publisher: Wiley
  • Refereed: 1
  • Filename: 4289/Almendral_Vazquez_-_Numerical_Valuation_of_American_Options_Under_the.pdf
  • Conference: "Exotic option pricing under advanced Lévy models" EURANDOM, Eindhoven, The Netherlands
  • Page(s):
  • Journal:
  • Name and number of project: Prising av derivater
  • Volume/number:
  • Title: Numerical Valuation of American Options Under the CGMY Process
  • Author(s): Almendral Vazquez, Ariel; Oosterlee, Cornelis
  • ISBN: 0-470-01684-1
  • Book title: Exotic Option Pricing and Advanced Levy Models
  • Editor: Schoutens, Wim; Kyprianou, Andreas; Wilmott, Paul

 

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Postal address: Norsk Regnesentral/Norwegian Computing Center, P.O. Box 114 Blindern, NO-0314 Oslo, Norway
Visit address: Norsk Regnesentral, Gaustadalleen 23a, Kristen Nygaards hus, NO-0373 Oslo.
Phone: (+47) 22 85 25 00
AddressHow to get to NR