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Pricing American options under variance gamma
Home
Publications
Pricing American options under variance gamma
Pricing American options under variance gamma
AH
Ali Hirsa
Ali Hirsa
DM
Dilip Madan
Dilip Madan
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1 January 2003
journal article
Published by
Infopro Digital Services Limited
in
Journal of Computational Finance
Vol. 7
(2)
,
63-80
https://doi.org/10.21314/jcf.2003.112
Abstract
We derive partial integro-differential equations (PIDE) for pricing American options when the log price dynamics of the underlying..., Original Research, Computational finance
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Open Access
Cited by 78 articles