Dynamic programming for valuing American options under a variance‐gamma process

2020 ◽  
Vol 40 (10) ◽  
pp. 1548-1561
Author(s):  
Hatem Ben‐Ameur ◽  
Rim Chérif ◽  
Bruno Rémillard
Keyword(s):  
Dynamic Programming ◽  
American Options ◽  
Gamma Process ◽  
Variance Gamma ◽  
Variance Gamma Process

scholarly journals Valuation of European and American Options under Variance Gamma Process

2014 ◽  
Vol 02 (11) ◽  
pp. 1000-1008 ◽  
Author(s):  
Ferry Jaya Permana ◽  
Dharma Lesmono ◽  
Erwinna Chendra
Keyword(s):  
American Options ◽  
Gamma Process ◽  
Variance Gamma ◽  
Variance Gamma Process

scholarly journals On American Options Under the Variance Gamma Process

2007 ◽  
Vol 14 (2) ◽  
pp. 131-152 ◽  
Author(s):  
Ariel Almendral ◽  
Cornelis W. Oosterlee
Keyword(s):  
American Options ◽  
Gamma Process ◽  
Variance Gamma ◽  
Variance Gamma Process

The Variance Gamma Process and Option Pricing

1998 ◽  
Vol 2 (1) ◽  
pp. 79-105 ◽  
Author(s):  
Dilip B. Madan ◽  
Peter P. Carr ◽  
Eric C. Chang
Keyword(s):  
Option Pricing ◽  
Gamma Process ◽  
Variance Gamma ◽  
Variance Gamma Process
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