Monte Carlo Option Pricing for Tempered Stable (CGMY) Processes
| Year of publication: |
2006
|
|---|---|
| Authors: | Poirot, Jérémy ; Tankov, Peter |
| Published in: |
Asia-Pacific Financial Markets. - Springer, ISSN 1387-2834. - Vol. 13.2006, 4, p. 327-344
|
| Publisher: |
Springer |
| Subject: | Monte Carlo | Option pricing | Lévy process | Tempered stable process | CGMY model |
| Extent: | text/html |
|---|---|
| Type of publication: | Article |
| Source: |
Persistent link: https://www.econbiz.de/10005075679