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

Journal article (2012)

Authors

B. Zhang Numerical Analysis - EEMCS
L.A. Grzelak Numerical Analysis - EEMCS
C.W. Oosterlee Numerical Analysis - EEMCS
Research Group
Numerical Analysis (EEMCS) (TU Delft)
More Info
expand_more

Published Date

2012

Language

English

Reuse Rights

Other than for strictly personal use, it is not permitted to download, forward or distribute the text or part of it, without the consent of the author(s) and/or copyright holder(s), unless the work is under an open content license such as Creative Commons.

Faculty

Electrical Engineering, Mathematics and Computer Science

Department

Delft Institute of Applied Mathematics

Research Group

Numerical Analysis