Dynamic programming for valuing American options under a variance‐gamma process
Year of publication: |
2020
|
---|---|
Authors: | Ben‐Ameur, Hatem ; Chérif, Rim ; Rémillard, Bruno |
Published in: |
Journal of Futures Markets. - Wiley, ISSN 1096-9934, ZDB-ID 2002201-3. - Vol. 40.2020, 10 (03.07.), p. 1548-1561
|
Publisher: |
Wiley |
Saved in:
Online Resource
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