American Option Pricing in Variance Gamma using Finite Difference [C# .NET]

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American Option Pricing in Variance Gamma using Finite Difference
Submitter: vanna	Date: 2007/3/31

Description: Discussed in http://www.wilmott.com/ Implements paper A. Hirsa, D.B. Madan, Pricing American options under variance gamma 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
1699 0 bytes C# .NET http://www.wilmott.com/messageview.cfm?catid=4&threadid=43843
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