Efficient pricing of commodity options with early-exercise under the ornstein¿uhlenbeck process
Report
(2011)
Authors
B. Zhang (TU Delft - Numerical Analysis)
L.A. Grzelak (TU Delft - Numerical Analysis)
C.W. Oosterlee (TU Delft - Numerical Analysis)
Research Group
Numerical Analysis
To reference this document use:
https://resolver.tudelft.nl/d0959621-0e32-4e8b-aaab-423301ba6c63
More Info
expand_more
expand_more
Publication Year
2011
Language
English
Research Group
Numerical Analysis
Bibliographical Note
ISSN: 1389-6520@en
Volume number
Reports of the Department of Applied Mathematics
No files available
Metadata only record. There are no files for this record.