A new lattice-based scheme for swing option pricing under mean-reverting regime-switching jump-diffusion processes

From MaRDI portal
Publication:2199786

DOI10.1016/j.cam.2020.113132zbMath1448.91290OpenAlexW3047279105MaRDI QIDQ2199786

Zaniar Ahmadi, Ali Foroush Bastani, Mohammed Hosseini Ali Abadi

Publication date: 14 September 2020

Published in: Journal of Computational and Applied Mathematics (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/j.cam.2020.113132




Related Items



Cites Work