On American Options Under the Variance Gamma Process

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PRICING ASIAN OPTIONS FOR JUMP DIFFUSION (2011, unknown): “Almendral and Oosterlee (2007) for the application of the Fast Fourier Transform in American options under the Variance Gamma model).”
Robust numerical valuation of European and American options under the CGMY process (2007, background): “Option pricing, under exponential Lévy process with finite activity [5, 8, 9, 10, 11, 12] and infinite activity [13, 14, 15, 16, 17] has been extensively studied.”
Pricing early-exercise and discrete barrier options by fourier-cosine series expansions (2009, unknown): “For this set of CGMY parameters it is now well-known that PIDE-based methods have convergence difficulties [2, 43].”
Some remarks on first passage of Levy processes, the American put and pasting principles (2005, unknown): “ar X iv :m at h/ 05 08 48 7v 1 [ m at h. PR ] 2 5 A ug 2 00 5 The Annals of Applied Probability 2005, Vol. 15, No. 3, 2062–2080 DOI: 10.1214/105051605000000377 c© Institute of Mathematical Statistics, 2005”