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

Report (2011)

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)
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Published Date

2011

Language

English

Reuse Rights

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Faculty

Electrical Engineering, Mathematics and Computer Science

Department

Delft Institute of Applied Mathematics

Research Group

Numerical Analysis