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

Research output: Contribution to journalArticleScientificpeer-review

8 Citations (Scopus)
Original languageEnglish
Pages (from-to)91-111
Number of pages21
JournalApplied Numerical Mathematics
Volume62
DOIs
Publication statusPublished - 2012

Keywords

  • academic journal papers
  • CWTS 0.75 <= JFIS < 2.00

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