Efficient pricing of commodity options with early-exercise under the Ornstein-Uhlenbeck process (Q655547)
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scientific article; zbMATH DE number 5994482
| Language | Label | Description | Also known as |
|---|---|---|---|
| English | Efficient pricing of commodity options with early-exercise under the Ornstein-Uhlenbeck process |
scientific article; zbMATH DE number 5994482 |
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Efficient pricing of commodity options with early-exercise under the Ornstein-Uhlenbeck process (English)
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4 January 2012
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early-exercise commodity options
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efficient pricing
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Fourier-cosine expansions
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Ornstein
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Uhlenbeck process
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error analysis
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