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

B Zhang, LA Grzelak, CW Oosterlee

Research output: Book/Report › Report › Professional

Original language	English
Place of Publication	Delft
Publisher	EWI Dept. Applied Mathematics
Number of pages	27
Volume	Reports of the Department of Applied Mathematics
Publication status	Published - 2011

Name
Publisher	EWI Dept. Applied Mathematics

ISSN: 1389-6520

Keywords

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title = "Efficient pricing of commodity options with early-exercise under the ornstein¿uhlenbeck process",

keywords = "Wiskunde en Informatica, Techniek, technische Wiskunde en Informatica, departmental working papers, Geen BTA classificatie",

author = "B Zhang and LA Grzelak and CW Oosterlee",

note = "ISSN: 1389-6520",

year = "2011",

language = "English",

volume = "Reports of the Department of Applied Mathematics",

publisher = "EWI Dept. Applied Mathematics",

}

TY - BOOK

T1 - Efficient pricing of commodity options with early-exercise under the ornstein¿uhlenbeck process

AU - Zhang, B

AU - Grzelak, LA

AU - Oosterlee, CW

N1 - ISSN: 1389-6520

PY - 2011

Y1 - 2011

KW - Wiskunde en Informatica

KW - Techniek

KW - technische Wiskunde en Informatica

KW - departmental working papers

KW - Geen BTA classificatie

M3 - Report

VL - Reports of the Department of Applied Mathematics

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

PB - EWI Dept. Applied Mathematics

CY - Delft

ER -