Efficient pricing of swing options in Lévy-driven models (Q5397406): Difference between revisions
From MaRDI portal
Created a new Item |
Added link to MaRDI item. |
||
| links / mardi / name | links / mardi / name | ||
Revision as of 01:26, 9 February 2024
scientific article; zbMATH DE number 6260360
| Language | Label | Description | Also known as |
|---|---|---|---|
| English | Efficient pricing of swing options in Lévy-driven models |
scientific article; zbMATH DE number 6260360 |
Statements
Efficient pricing of swing options in Lévy-driven models (English)
0 references
20 February 2014
0 references
option pricing
0 references
swing options
0 references
finite difference methods
0 references
Wiener-Hopf factorization
0 references
American options
0 references
energy derivatives
0 references
numerical method
0 references
