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document
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Zhang, B. (author), Grzelak, L.A. (author), Oosterlee, C.W. (author)
We analyze the efficiency properties of a numerical pricing method based on Fourier-cosine expansions for early-exercise options. We focus on variants of Schwartz’ model [20] based on a mean reverting Ornstein-Uhlenbeck process [23], which is commonly used for modeling commodity prices. This process however does not possess favorable properties...
report 2010
Source URL (retrieved on 2024-04-28 01:46): https://repository.tudelft.nl/islandora/search/author%3A%22Zhang%2C%20B.%22?collection=research&%3Bamp%3Bf%5B0%5D=mods_subject_topic_ss%3A%22Asian%5C%20options%22&%3Bf%5B0%5D=mods_name_personal_author_namePart_family_ss%3A%22Van%5C%20Loon%22&f%5B0%5D=mods_name_personal_author_namePart_family_ss%3A%22Grzelak%22