Fast pricing of American options under variance gamma
Weilong Fu and Ali Hirsa
| Year of publication: |
2021
|
|---|---|
| Authors: | Fu, Weilong ; Hirsa, Ali |
| Published in: |
The journal of computational finance. - London : Infopro Digital Risk, ISSN 1460-1559, ZDB-ID 1433009-X. - Vol. 25.2021, 1, p. 29-49
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| Subject: | American options | variance gamma | quadratic approximation | machine learning | kernel regression | Optionspreistheorie | Option pricing theory | Black-Scholes-Modell | Black-Scholes model | Schätztheorie | Estimation theory | Optionsgeschäft | Option trading | Künstliche Intelligenz | Artificial intelligence | Regressionsanalyse | Regression analysis | Stochastischer Prozess | Stochastic process |
| Type of publication: | Article |
|---|---|
| Type of publication (narrower categories): | Aufsatz in Zeitschrift ; Article in journal |
| Language: | English |
| Other identifiers: | 10.21314/JCF.2021.002 [DOI] |
| Source: | ECONIS - Online Catalogue of the ZBW |
Persistent link: https://www.econbiz.de/10012672301