Dynamic programming for valuing American options under a...

Journal of Futures Markets 2020 / 10 Vol. 40; Iss. 10

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

Ben‐Ameur, Hatem, Chérif, Rim, Rémillard, Bruno
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Volume:
40
Journal:
Journal of Futures Markets
DOI:
10.1002/fut.22148
Date:
October, 2020
File:
PDF, 983 KB
2020
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