Work

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

Year: 2011

Type: article

Source: Applied Numerical Mathematics

DOI: 10.1016/j.apnum.2011.10.005

Authors: B. Zhang, L.A. Grzelak, C.W. Oosterlee

Institutions: Delft University of Technology, Centrum Wiskunde & Informatica

Language: English

Topic: Stochastic processes and financial applications

Subfield: Finance

Field: Economics, Econometrics and Finance

Domain: Social Sciences

Open Access status: green

OpenAlex ID: W1551784063

FWCI: 3.805

Cites: 25

Cited by: 16

Related to: 10