"Accurate Evaluation of European and American Options Under the CGMY Process."

Ariel Almendral, Cornelis W. Oosterlee (2007)

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DOI: 10.1137/050637613

access: closed

type: Journal Article

metadata version: 2020-07-30

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Ariel Almendral, Cornelis W. Oosterlee:
Accurate Evaluation of European and American Options Under the CGMY Process. SIAM J. Sci. Comput. 29(1): 93-117 (2007)

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