OPTIONS: JUMPING IN LINE - The variance gamma jump model is known to describe the volatility smile for short-dated options accurately. However, implementation for exotic pathdependent options can prove difficult. The authors use the method of lines to develop an alternative approach.
| Year of publication: |
2001
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|---|---|
| Authors: | Albanese, Claudio ; Jaimungal, Sebastian ; Rubisov, Dmitri |
| Published in: |
Risk : managing risk in the world's financial markets. - London : Incisive Financial Publ, ISSN 0952-8776, ZDB-ID 10494753. - Vol. 14.2001, 2, p. 65-68
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