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

2007

On American options under the Variance Gamma process

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Applied Mathematical Finance , Volume 14 - Issue 2 p. 131- 152

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Keywords partial integro-differential equation, option pricing
THEME Life Sciences (theme 5), Energy (theme 4)
Publisher Taylor & Francis
Journal Applied Mathematical Finance
Organisation Scientific Computing
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Almendral, A., & Oosterlee, K. (2007). On American options under the Variance Gamma process. Applied Mathematical Finance, 14(2), 131–152.
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See Also
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An efficient multigrid solver for a reformulated version of the poroelasticity system
C.W. Oosterlee (Kees), F.J. Gaspar (Francisco), F.J. Lisbona and P.N. Vabishchevich
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
An efficient multigrid solver for a reformulated version of the poroelasticity system
C.W. Oosterlee (Kees), F.J. Gaspar (Francisco), F.J. Lisbona and P.N. Vabishchevich

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