Efficient pricing of commodity options with early-exercise under the Ornstein¿Uhlenbeck process
Journal Article
(2012)
Author(s)
B. Zhang (TU Delft - Numerical Analysis)
L.A. Grzelak (TU Delft - Numerical Analysis)
C.W. Oosterlee (TU Delft - Numerical Analysis)
Research Group
Numerical Analysis
DOI related publication
https://doi.org/10.1016/j.apnum.2011.10.005
To reference this document use:
https://resolver.tudelft.nl/uuid:45a8dbe9-90da-4ace-bb6b-25f349b0a670
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Publication Year
2012
Language
English
Research Group
Numerical Analysis
Volume number
62
Pages (from-to)
91-111
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