Monte Carlo Option Pricing for Tempered Stable (CGMY) Processes
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Bibliographic InfoArticle provided by Springer in its journal Asia-Pacific Financial Markets.
Volume (Year): 13 (2006)
Issue (Month): 4 (December)
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Web page: http://springerlink.metapress.com/link.asp?id=102851
Monte Carlo; Option pricing; Lévy process; Tempered stable process; CGMY model;
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