Application of fast N-body algorithm to option pricing under CGMY model
Takayuki Sakuma
| Year of publication: |
May 2017
|
|---|---|
| Authors: | Sakuma, Takayuki |
| Published in: |
Journal of mathematical finance. - [S.l.] : Scientific Research, ISSN 2162-2434, ZDB-ID 2657377-5. - Vol. 7.2017, 2, p. 308-318
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| Subject: | Jump-Diffusion Model | CGMY Model | Option Pricing | Cartesian Treecode | Optionspreistheorie | Option pricing theory | Stochastischer Prozess | Stochastic process | Algorithmus | Algorithm | Black-Scholes-Modell | Black-Scholes model |
| Type of publication: | Article |
|---|---|
| Type of publication (narrower categories): | Aufsatz in Zeitschrift ; Article in journal |
| Language: | English |
| Other identifiers: | 10.4236/jmf.2017.72016 [DOI] |
| Source: | ECONIS - Online Catalogue of the ZBW |
Persistent link: https://www.econbiz.de/10011673900