Pricing of Swing Options in a Mean Reverting Model with Jumps

By Kjaer Mats  

Applied Mathematical Finance, Vol. 15, Iss. 5-6, 2008-01 ,pp. : 479-502

Routledge Ltd

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Analytical approximation method of option pricing under geometric mean-reverting process

By Liu R. H.  

International Journal of Computer Mathematics, Vol. 86, Iss. 6, 2009-06 ,pp. : 1082-1092

Taylor & Francis Ltd

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Double barrier option under regime-switching exponential mean-reverting process

By Eloe P.   Liu R. H.   Sun J. Y.  

International Journal of Computer Mathematics, Vol. 86, Iss. 6, 2009-06 ,pp. : 964-981

Taylor & Francis Ltd

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Pricing in Electricity Markets: A Mean Reverting Jump Diffusion Model with Seasonality

By Cartea Álvaro   Figueroa Marcelo  

Applied Mathematical Finance, Vol. 12, Iss. 4, 2005-12 ,pp. : 313-335

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Some aspects of parameter identification in a mean reverting financial asset model with time-dependent volatility

By Hofmann B.  

International Journal of Computer Mathematics, Vol. 86, Iss. 6, 2009-06 ,pp. : 992-1008

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