American Option Pricing in VG model using Finite Difference [C++]

Main : C++ :

Category: C++	View Full Details
American Option Pricing in VG model using Finite Difference
Submitter: vanna	Date: 2006/12/25

Description: Appendix of the pdf file contains code to price american option in variance gamma model using FD scheme Filippo Fiorani keywords : PIDE, FDM Got a question or problem with this link? Just enter your message and click on submit. No registration is required. Note: A copy of this message will also be emailed to the submitter of this link
1788 0 bytes C++ http://www.icer.it/
Rating: 10.00 (1 vote) Rate this File \| Modify \| Delete \| Report Broken File \| Tell a Friend \| Comments (18)

Discuss this file. Just enter your message and click on submit. No registration is required.