A Numerical Solution to American Style Options on Commodities
| Year of publication: |
2003-08-01
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|---|---|
| Authors: | Burrage, Kevin ; Alcock, Jamie ; Barbu, Monica |
| Institutions: | Society for Computational Economics - SCE |
| Subject: | Commodity markets | option pricing | optimal stopping | numerical methods |
| Series: | |
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| Type of publication: | Book / Working Paper |
| Notes: | The text is part of a series Computing in Economics and Finance 2002 Number 135 |
| Classification: | G13 - Contingent Pricing; Futures Pricing ; C15 - Statistical Simulation Methods; Monte Carlo Methods ; C63 - Computational Techniques |
| Source: |
Persistent link: https://www.econbiz.de/10005537812