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

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

Original language	Undefined/Unknown
Journal	Applied Numerical Mathematics
DOIs	https://doi.org/10.1016/j.apnum.2011.10.005
Publication status	Published - 2012
Externally published	Yes

Access to Document

@article{4b2c2e99e5814d159e2b85a991dfdc6a,

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

author = "B. Zhang and L.A. Grzelak and C.W. Oosterlee",

year = "2012",

doi = "10.1016/j.apnum.2011.10.005",

language = "Undefined/Unknown",

journal = "Applied Numerical Mathematics",

issn = "0168-9274",

publisher = "Elsevier",

}

TY - JOUR

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

AU - Zhang, B.

AU - Grzelak, L.A.

AU - Oosterlee, C.W.

PY - 2012

Y1 - 2012

UR - http://www.scopus.com/inward/record.url?eid=2-s2.0-81955161857&partnerID=MN8TOARS

U2 - 10.1016/j.apnum.2011.10.005

DO - 10.1016/j.apnum.2011.10.005

M3 - Article

SN - 0168-9274

JO - Applied Numerical Mathematics

JF - Applied Numerical Mathematics

ER -