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Volume 10/Number 1, Fall 2006
Highly accurate evaluation of European and American options under the Variance Gamma process Ariel Almendral
Delft University of Technology, Faculty of Electrical Engineering, Mathematics and Computer Science, Mekelweg 4, 2628 CD Delft, The Netherlands CornelisW. Oosterlee
Delft University of Technology, Faculty of Electrical Engineering, Mathematics and Computer Science, Mekelweg 4, 2628 CD Delft, The Netherlands European and American option prices under the Variance Gamma process are computed with high accuracy by numerically solving the corresponding partial integro-differential equation on a stretched grid.
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