Robust numerical valuation of European and American options under the CGMY process

77 citations recorded by the source corpus.

How researchers see this paper

The researchers whose trusted networks rank it highest, strongest advocate first. Every researcher gets a different order.

A Novel Pricing Method for European Options Based on Fourier-Cosine Series Expansions (2008, methodology): “It has been reported in [1, 24] that PIDE methods have difficulty solving the cases for which parameter Y ∈ [1, 2].”
Asymptotics for Exponential Levy Processes and Their Volatility Smile: Survey and New Results (2012, methodology): “, [4], [10], [36], [32], [120], [60], [79], so, if this was the only case one is interested in, it would not be worthwhile adding yet another method to this set.”
Pricing early-exercise and discrete barrier options by fourier-cosine series expansions (2009, unknown): “Generally speaking, however, the computational process with PIDE is rather expensive, especially for the infinite activity Lévy processes we are interested in, because they give rise to an integral in the PIDE with a weakly singular kernel [2, 27, 44].”
A NEW LOOK AT SHORT‐TERM IMPLIED VOLATILITY IN ASSET PRICE MODELS WITH JUMPS (2012, methodology): “S K T r c λ+ λ− α Value ([26]) Our value 90 98 0.”