Accurate evaluation of European and American options under the CGMY process

2007

Additional Metadata
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
Citation APA Style AAA Style APA Style Cell Style Chicago Style Harvard Style IEEE Style MLA Style Nature Style Vancouver Style American-Institute-of-Physics Style Council-of-Science-Editors Style BibTex Format Endnote Format RIS Format CSL Format DOIs only Format	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

Publication