2012-01-01
Efficient pricing of commodity options with early-exercise under the Ornstein-Uhlenbeck process
Publication
Publication
Applied Numerical Mathematics
,
Volume 62
p. 91-
111
Additional Metadata | |
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THEME | Life Sciences (theme 5), Energy (theme 4) |
Publisher | north-holland |
Journal | Applied Numerical Mathematics |
Citation |
Zhang, B, & Oosterlee, C.W. (2012). Efficient pricing of commodity options with early-exercise under the Ornstein-Uhlenbeck process. Applied Numerical Mathematics, 62, 91–111.
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