Efficient pricing of swing options in Lévy-driven models (Q5397406)
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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 |
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Efficient pricing of swing options in Lévy-driven models (English)
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20 February 2014
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option pricing
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swing options
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finite difference methods
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Wiener-Hopf factorization
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American options
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energy derivatives
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numerical method
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