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A. Almendral and C.W. Oosterlee (Kees)

2007

Accurate evaluation of European and American options under the CGMY process

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SIAM Journal on Scientific Computing , Volume 29 p. 93- 117

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Keywords partial integro-differential equations, collocation method, option pricing
THEME Life Sciences (theme 5), Energy (theme 4)
Publisher S.I.A.M.
Journal SIAM Journal on Scientific Computing
Organisation Scientific Computing
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Almendral, A, & Oosterlee, C.W. (2007). Accurate evaluation of European and American options under the CGMY process. SIAM Journal on Scientific Computing, 29, 93–117.

See Also
article
A parallel multigrid-based preconditioner for the 3D heterogeneous high-frequency Helmholtz equation
C.D. Riyanti, A. Kononov, Y.A. Erlangga, C. Vuik, C.W. Oosterlee (Kees), R.-E. Plessix and W.A. Mulder
article
A parallel multigrid-based preconditioner for the 3D heterogeneous high-frequency Helmholtz equation
C.D. Riyanti, A. Kononov, Y.A. Erlangga, C. Vuik, C.W. Oosterlee (Kees), R.-E. Plessix and W.A. Mulder

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