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

B Zhang, LA Grzelak, CW Oosterlee

Research output: Contribution to journal › Article › Scientific › peer-review

13 Citations (Scopus)

Original language	English
Pages (from-to)	91-111
Number of pages	21
Journal	Applied Numerical Mathematics
Volume	62
DOIs	https://doi.org/10.1016/j.apnum.2011.10.005
Publication status	Published - 2012

Keywords

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

keywords = "academic journal papers, CWTS 0.75 <= JFIS < 2.00",

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

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pages = "91--111",

journal = "Applied Numerical Mathematics",

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T1 - Efficient pricing of commodity options with early-exercise under the Ornstein¿Uhlenbeck process

AU - Zhang, B

AU - Grzelak, LA

AU - Oosterlee, CW

PY - 2012

Y1 - 2012

KW - academic journal papers

KW - CWTS 0.75 <= JFIS < 2.00

U2 - 10.1016/j.apnum.2011.10.005

DO - 10.1016/j.apnum.2011.10.005

M3 - Article

SN - 0168-9274

VL - 62

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EP - 111

JO - Applied Numerical Mathematics

JF - Applied Numerical Mathematics

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