Fri, 20 May 2005
14:15
14:15
DH 3rd floor SR
Evaluation of European and American options under de Variance Gamma
process with grid stretching and accurate discretization.
Kees Oosterlee
(Delft)
Abstract
In this talk, we present several numerical issues, that we currently pursue,
related to accurate approximation of option prices. Next to the numerical
solution of the Black-Scholes equation by means of accurate finite differences
and an analytic coordinate transformation, we present results for options under
the Variance Gamma Process with a grid transformation. The techniques are
evaluated for European and American options.