Journal of Mathematical Finance

Vol.7 No.2(2017), Paper ID 76269, 11 pages

DOI:10.4236/jmf.2017.72016

 

Application of Fast N-Body Algorithm to Option Pricing under CGMY Model

 

Takayuki Sakuma

 

Faculty of Economics, Soka University, Tokyo, Japan

 

Copyright © 2017 Takayuki Sakuma et al. This is an open access article distributed under the Creative Commons Attribution License, which permits unrestricted use, distribution, and reproduction in any medium, provided the original work is properly cited.

 

How to Cite this Article

Sakuma, T. (2017) Application of Fast N-Body Algorithm to Option Pricing under CGMY Model. Journal of Mathematical Finance, 7, 308-318. doi: 10.4236/jmf.2017.72016.
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