Efficient pricing of commodity options with early-exercise under the ornstein¿uhlenbeck process

Research output: Book/ReportReportProfessional

Original languageEnglish
Place of PublicationDelft
PublisherEWI Dept. Applied Mathematics
Number of pages27
VolumeReports of the Department of Applied Mathematics
Publication statusPublished - 2011

Publication series

Name
PublisherEWI Dept. Applied Mathematics

Keywords

  • Wiskunde en Informatica
  • Techniek
  • technische Wiskunde en Informatica
  • departmental working papers
  • Geen BTA classificatie

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