Monte Carlo Option Pricing for Tempered Stable (CGMY) Processes

Jérémy Poirot () and Peter Tankov

Asia-Pacific Financial Markets, 2006, vol. 13, issue 4, 327-344

Keywords: Monte Carlo; Option pricing; Lévy process; Tempered stable process; CGMY model (search for similar items in EconPapers)
Date: 2006
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DOI: 10.1007/s10690-007-9048-7

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