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 |
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