Efficient pricing of commodity options with early-exercise...

Applied Numerical Mathematics 2012 Vol. 62; Iss. 2

Efficient pricing of commodity options with early-exercise under the Ornstein–Uhlenbeck process

B. Zhang, L.A. Grzelak, C.W. Oosterlee
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Volume:
62
Year:
2012
Language:
english
Pages:
21
DOI:
10.1016/j.apnum.2011.10.005
File:
PDF, 805 KB
english, 2012
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