Swing options valuation : a BSDE with constrained jumps approach
Year of publication: |
2012
|
---|---|
Authors: | Bernhart, Marie ; Pham, Huyen ; Tankov, Peter ; Warin, Xavier |
Published in: |
Numerical methods in finance : Bordeaux, June 2010. - Berlin : Springer, ISBN 3-642-25745-3. - 2012, p. 379-400
|
Subject: | Optionspreistheorie | Option pricing theory | Optionsgeschäft | Option trading | Volatilität | Volatility | Stochastischer Prozess | Stochastic process |
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